عرضه وام بانکی و انتقال سیاست پولی در آلمان : ارزیابی مبتنی بر تطبیق پاسخ انگیزشی

This paper addresses the credit channel in Germany by using aggregate data. We present a stylized model of the banking firm in which banks decide on their loan supply in the light of expectations about the future course of monetary policy. Applying a VAR model, we estimate the response of bank loans to a monetary policy shock taking account of the reaction of the output level and the loan rate. We estimate our model to evaluate the response of bank loans by matching the theoretical impulse responses with the empirical impulse responses to a monetary policy shock. Evidence in support of the credit channel can be reported.

The credit channel assigns banks a pivotal role in the transmission of monetary policy, which stems from the notion that financial markets are characterized by imperfections.1 Banks are special in extending credit to borrowers – that cannot access other types of credit – because of their expertise in mitigating financial frictions. If banks adjust their loan supply following a change in the stance of monetary policy, this has a bearing on real activity, since some borrowers have to rearrange their expenditure decisions.2 As Bernanke and Gertler, 1995 and Hubbard, 1995 point out, the credit channel is working in addition to the interest rate channel, according to which monetary policy affects the level of investment and consumer spending by inducing changes in the cost of capital and yield on savings. Although, the credit channel and the interest rate channel diverge in assessing the relevance of financial considerations, they are deemed complementary, with the implication that monetary policy can be effective through these transmission channels simultaneously. Following Bernanke and Blinder (1992), a number of studies based on vectorautoregression (VAR) analysis have examined whether the credit channel is operating alongside the interest rate channel by using aggregate data. Many studies have shown that bank loans decline after a monetary policy shock, but these findings are plagued by a severe identification problem, as it remains unclear whether the drop is driven by loan supply or loan demand effects. While the credit channel emphasizes a shift in loan supply, the interest rate channel stresses a shift in loan demand, which stems from a policy-induced decline in real activity. Distinguishing between these predictions is a difficult task, as “it is not possible using reduced-form estimates based on aggregate data alone, to identify whether bank balance sheet contractions are caused by shifts in loan supply or loan demand” ( Cecchetti, 1995, p. 92). In light of this ambiguity, several studies have explored heterogeneity across agents by moving from aggregate data to disaggregated data. For the US, Gertler and Gilchrist, 1993, Gilchrist and Zakrajsek, 1995 and Oliner and Rudebusch, 1995 use panel data of a large number of business firms. From this research it appears that firms of different size encounter different financial constraints after a monetary tightening. Kashyap and Stein (2000) investigate panel data at the individual bank level. They observe that monetary policy particularly affects the lending behavior of small banks with less liquid balance sheets. Kishan and Opiela (2000) report a similar finding by approximating bank lending activities on the basis of bank size and bank capital. So far, much work on the credit channel in Germany – implemented by Barran et al., 1997, De Bondt, 2000, Ehrmann, 2004, Ehrmann and Worms, 2004, Holtemöller, 2003, Hülsewig et al., 2004, Kakes and Sturm, 2002, Von Kalckreuth, 2003 and Worms, 2003 – has employed aggregate and disaggregated data but reported contrary results. While some of these studies find evidence in support of the credit channel, others conclude that the credit channel is ineffective. The vagueness in the results reflects in part the difficulty in separating the loan supply effects from the loan demand effects that follow a monetary contraction. This paper addresses the credit channel in Germany by using aggregate data.3 We present a stylized model of the banking firm, which specifies the loan supply decision of banks in the light of expectations about the future course of monetary policy. Applying a VAR model, we estimate the response of bank loans to a monetary policy shock taking account of the reaction of the output level and the loan rate. We use our model as a guide to characterize the response of bank loans – i.e., to decompose the adjustment of bank loans into the parts that can be attributed to loan supply and loan demand – by matching the theoretical impulse responses with the empirical impulse responses to a monetary policy shock. In this vein, the identification problem inherent in approaches based on aggregate data is explicitly addressed.4 Our findings suggest that the credit channel is operating alongside the interest rate channel. Banks decrease their loan supply with an expected drop in their credit margin after a monetary policy shock, while loan demand declines with a drop in the output level and a rise in the loan rate. The decrease in loan supply occurs instantly and bottoms out gradually. The decrease in loan demand proceeds by degrees and continues more persistently. The remainder of this paper is organized as follows. Section 2 presents our model of the banking firm, which establishes the basis for our testing. Section 3 sets out the empirical results, which are derived by adopting a two-step procedure. First, we estimate a VAR model to generate impulse responses to a monetary policy shock. Second, we estimate our model by using a minimum distance estimation, which matches the theoretical impulse responses with the empirical impulse responses. Section 4 provides concluding remarks.

This paper has addressed the credit channel in Germany by using aggregate data. We have developed a stylized model of the banking firm in which banks decide on their loan supply in the light of expectations about the future course of monetary policy. We have estimated the response of bank loans to a monetary policy shock taking account of the reaction of the output level and the loan rate. Using our model as a guide, we have evaluated the response of bank loans – i.e., disclosing the parts that can be attributed to loan supply and loan demand – by matching the theoretical impulse responses with the empirical impulse responses to a monetary policy shock. Our findings suggest that the credit channel in Germany is operating alongside the interest rate channel, which is consistent with De Bondt, 2000, Holtemöller, 2003, Hülsewig et al., 2004, Kakes and Sturm, 2002 and Worms, 2003, who draw similar conclusions. Our results imply that loan supply by the banks declines with an expected fall in the credit margin after a monetary policy shock, while loan demand drops with a fall in the output level and a raise in the loan rate. The decrease in loan supply occurs immediately and bottoms out gradually. The decrease in loan demand proceeds by degrees and continues more persistently.