وام دهی بانک ها و پاسخ بازار سهام به شوک سیاست پولی
|کد مقاله||سال انتشار||مقاله انگلیسی||ترجمه فارسی||تعداد کلمات|
|26264||2008||11 صفحه PDF||سفارش دهید||9637 کلمه|
Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)
Journal : International Review of Economics & Finance, Volume 17, Issue 3, 2008, Pages 425–435
This paper explores whether a limited participation model modified to include features of the bank lending channel can account for the empirically observed reaction of stock market returns to monetary policy shocks. When calibrated to match characteristics of US data, the model generates responses that broadly match the empirical counterparts. The results also suggest, that the higher exposure of bank-dependent firms to liquidity shocks generates substantial heterogeneity of the responses across firms.
Although not without controversy, empirical evidence suggests that monetary policy influences real economic activity and asset prices in a systematic manner (see e.g. Bernanke and Kuttner, 2005, Rigobon and Sack, 2004, Lastrapes, 1998, Thorbecke, 1997 and Patelis, 1997). However, the theoretical links are not well understood. The purpose of this paper is to study the transmission of monetary policy shocks into stock market returns in a dynamic general equilibrium model. A variant of the limited participation model in Christiano, Eichenbaum, and Evans (1997) is applied to explore whether the model can generate responses of stock market returns to monetary policy shocks that are consistent with US data. In particular, the paper analyzes if the model can replicate the heterogeneous responses of the returns on small and large firms documented in the empirical literature, where firm size is usually interpreted as a proxy for financial market access. Gertler and Gilchrist (1994) argue that small firms are more strongly affected by monetary policy shocks since they are likely to be relatively more constrained in financial markets. Ehrmann and Fratzscher (2004), Perez-Quiros and Timmermann (2000) and Thorbecke (1997) show that monetary policy exerts a larger effect on the returns of small firms. These results are usually interpreted as evidence in favor of the hypothesis that financial market imperfections and in particular the access to credit are important elements of the monetary transmission mechanism. Macroeconomic theory offers two complementary views on how financial factors influence the business cycle, namely the bank lending channel and the credit or balance sheet channel. Both channels are based on the notion that imperfect information and costly enforcement interfere with the functioning of credit markets. The credit view assumes that these frictions are mirrored in the external finance premium, which is defined as the difference in the cost of funds raised externally and internally. A borrowers' financial position affects the external finance premium since net worth and collateral can help to mitigate the adverse effects of informational frictions. According to the credit channel, monetary policy induces fluctuations in balance sheet positions which amplify the direct effects of monetary policy via the external finance premium. The bank lending channel focuses on the special role of banks, in the sense that monetary policy can influence the reserves of the banking sector and thereby the amount of loanable funds.1 However, empirically it has proven hard to distinguish between the credit view and the bank lending view as the relevant financial friction. This paper studies whether the bank-lending view can account for the observed heterogeneity of the responses to policy shocks across firms. For this purpose the model in Christiano et al. (1997) is modified such that it is consistent with the main characteristics of the bank lending channel as emphasized by Kashyap and Stein (1994): Some firms in the economy are dependent on bank loans as a source of external finance, banks cannot easily compensate policy induced variations in reserves and money is non-neutral. Hence, the simulations conducted in this paper can help to shed some light on the issue of whether the bank lending channel alone plays a relevant role for the variation in the responses of returns across firms. A characteristic feature of limited participation models (see e.g. Lucas, 1990, Fuerst, 1992 and Christiano and Eichenbaum, 1992) is the assumption that households adjust nominal saving only with a lag. Due to this limited participation in financial markets, monetary policy shocks are primarily absorbed by the banking sector of the economy. Put differently, a monetary contraction induces a decrease in the reserve holdings of the banking sector. Consequently, the supply of loanable funds falls, interest rates rise and ultimately, aggregate output falls. Hence, the limited participation friction generates a so-called liquidity effect, that is, a short term increase in nominal interest rates in response to a monetary contraction. Note that the limited participation model implies a rather close connection between monetary policy and the amount of loanable funds. Hence, it can be rather easily augmented to include the main features of the bank lending channel, which makes it a promising starting point for the analysis in this paper. Furthermore, as shown by Christiano et al. (1997) this class of models is in general rather successful in matching the results of the large empirical literature on the effects of monetary policy shocks. In addition, limited participation models have been successfully used as a framework for the study of asset prices by Evans and Marshall (1998) and Jordá and Salyer (2003). Both these papers analyze the term structure of nominal interest rates. The model used in this paper is closely related to Fisher (1999), Cooley and Nam (1998) and Fuerst (1995) who also analyze credit market frictions and financial intermediation in limited participation models. The implications for stock market returns have not been studied in the literature, and therefore the present paper contributes to the literature in this respect. This paper shows that the asset pricing implications of the limited participation model studied here are fairly consistent with empirical regularities found in US data. It turns out that the fact that some firms depend on bank loans as a source of external finance plays an important role and leads to substantial heterogeneity in the responses of returns across firms. The remainder of the paper is structured as follows: Section 2 describes the setup of the model. Section 3 discusses the calibration of the model and presents the results. Section 4 concludes the paper.
نتیجه گیری انگلیسی
This paper investigates the reaction of stock market returns to monetary shocks in a general equilibrium model. In the model, the transmission of monetary policy shocks into stock prices works primarily through changes in current and expected interest rates and dividends. A monetary contraction leads to higher nominal interest rates, which in turn increase the opportunity cost of holding stocks and at the same time decreases dividend payments since firms have to borrow working capital. Both these effects put downward pressure on stock prices. Monetary policy shocks have a substantial impact on the stock market in the model. However, the response of the overall stock market generated by the model is somewhat smaller than in the data. The model also suggests that the returns on bank-dependent firms react stronger to policy induced liquidity shocks, which is consistent with empirical evidence. In the model, the banking sector acts as a neutral conveyor of monetary policy. However, the literature on relationship lending argues that bank loans are special in the sense that financial intermediaries may provide insurance against liquidity shocks and thereby dampen the impact of monetary policy shocks on bank-dependent firms (see e.g. Berger and Udell, 1992 and Allen and Gale, 2000). Extending the model along this dimension appears to be a promising avenue for future research.