کانال اعتباری سیاست پولی: شواهدی از بازار مسکن

This paper tests a credit channel of monetary policy (especially a bank-lending channel) in the housing market. We argue that the relevance of the credit channel depends on the structural features of the housing finance system, in particular efficiency and institutional organisation. We employ a VAR approach to analyse this issue in four housing markets (Finland, Germany, Norway and the UK). Our findings show across countries a clear-cut relationship between presence of the credit channel, efficiency of housing finance and type of institutions active in mortgage provision.

Since Bernanke and Blinder (1988), the literature has shown a renewed interest in the credit channel of monetary policy. According to this view, widespread imperfections in the credit market, such as asymmetric information or imperfect contract enforceability, result for consumers and firms in a wedge between the opportunity cost of internal funds and the cost of external funds. In turn, this external finance premium depends on monetary policy. Tight monetary policy not only raises market rates of interest but also the external finance premium, thus discouraging investment and consumption. The explanations of this link are twofold. The balance-sheet view argues that the bridge between monetary policy and the external finance premium is represented by the financial position of borrowers. Tight money affects borrowers’ net worth, either reducing their current cash flows (increasing interest on debt burdens) or the value of their pledgeable assets. This feeds back on the external finance premium required by external lenders. The bank-lending channel view, on the other hand, focuses on lenders’ financial status. Tight money drains reserves and retail deposits on the liability side of banks’ balance-sheets. Faced with this deposit drain, banks can react by increasing their funding through managed liabilities (such as certificates of deposit) or shrinking assets (loans and securities). In the presence of an upward sloping supply for managed liabilities, banks may find too costly to fully offset the reduction in retail deposits and opt to reduce their assets. The lending view argues that the impact is relatively stronger on loans than on securities. In fact loans and securities are imperfect substitutes because loans are riskier and less liquid. Therefore tight money causes an inward shift of credit supply that especially affects borrowers with limited access to non-bank sources of external funding. The credit channel literature has produced mixed results (see Bernanke and Gertler, 1995 and Baum et al., 2003). A strong focus has been placed on identifying contractions in credit aggregates resulting from inward shifts in the demand for funds (fully consistent with the traditional monetary transmission mechanism) from shifts in supply resulting from a credit channel. A second crucial issue of this empirical literature has been to disentangle the bank-lending from the balance-sheet channel (Kashyap et al., 1993). In this sense, much work has been done on the relative impact of monetary policy on firms with different dependence on bank funds, such as small and big firms (see Gertler and Gilchrist, 1994).1 This paper analyses the credit channel of monetary transmission on the households’ demand side focusing on the housing market. Our aim is twofold. One the one hand, we want to assess the presence of such a channel in the housing market, possibly disentangling a bank-lending from a balance-sheet channel. On the other hand, we want to relate its presence to the structural characteristics of the housing finance system, especially its institutional organisation and its efficiency. Clearly, the paper has implications that go beyond the housing market. Housing plays an important role in the business cycle, not only because housing investment is a very volatile component of demand (Bernanke and Gertler, 1995), but also because changes in house prices can have important wealth effects on consumption (International Monetary Fund, 2000) and investment (Topel and Rosen, 1988). There are three main motivations for our paper. First, housing markets feature puzzles in terms of quantity and price dynamics hard to reconcile with the traditional monetary transmission mechanism. For instance, as Bernanke and Gertler (1995) observe, the response of residential investment to innovations in short-term rates is generally sharp and persistent. This feature does not match the dynamic response of long-term rates (those that mainly drive residential expenditure) that traditionally under-react to innovations in short-term rates and revert fast to their initial level. Second, as argued in Section 2, there are reasons to expect that the housing market is particularly exposed to the credit channel, hence representing a better environment to capture its presence than the broader economy. Finally, by exploiting the cross-country heterogeneity in housing finance systems, we can verify whether there exists a “reasonable” link between institutional context and evidence of a credit channel, thus offering an important robustness check for our findings. The paper is organised as follows. Section 2 analyses the credit channel in the housing market emphasising the role of the structural features of the housing finance system, especially its institutional framework and its efficiency. Section 3 presents the empirical methodology while Section 4 presents the results. In Section 5, we perform robustness checks. Finally, Section 6 concludes.

We have analysed and tested the presence of a bank-lending channel and more generally of a credit channel in four European housing markets characterised by different institutional frameworks and different levels of efficiency in the funding and mortgage systems. The results suggest that, despite the process of integration, residual heterogeneity characterises European housing markets and eventually the transmission mechanism of monetary policy. Table 3 summarises the econometric evidence. While robust evidence of a bank-lending channel emerges for Finland and the UK, we find at most evidence of a balance-sheet channel for Germany, and lack of evidence of a credit channel for Norway.As discussed in Section 1, housing plays a key role in the aggregate economy. House prices appear to have important wealth effects on consumption (International Monetary Fund (2000)) and investment (Topel and Rosen, 1988). Indeed, Case et al. (2005) analyse a panel of US states and estimate long-run elasticities of consumption to house prices of about 0.06 while Davis and Palumbo (2001) find an elasticity of consumption to housing wealth of 0.08. Moreover, as noted by Bernanke and Gertler (1995), housing investment is highly volatile and, in the aftermath of a monetary tightening, it accounts for a large part of the decline in aggregate demand. On the basis of these considerations, we believe that our results provide useful insights into the transmission mechanism of monetary policy. A thornier issue is instead to evaluate to what extent in the economies we have investigated our findings extend to non-housing markets. Interestingly, in all the four countries small firms account for an important share of total employment and production. For example, in the 1990–1999 period, in Finland and the UK, i.e. the countries where we found evidence of a bank-lending channel, small firms (defined as those with less than 250 employees) accounted for 59.15% and 56.42% of total employment, respectively (Ayyagari et al., 2003). In conjunction with the fact that banks typically constitute the main source of external finance of small firms, this suggests that the results we have obtained for the housing market are likely to be also relevant for the small business sector.