رفتار بانک، عبور نرخ بهره ناقص ، و کانال هزینه انتقال سیاست پولی

Abstract This paper employs a New Keynesian DSGE model to explore the role of banks within the cost channel of monetary policy transmission for shaping the interest rate pass-through from money market rates to loan rates. Banks extend loans to firms in an environment of monopolistic competition by setting their loan rates in a staggered way, which means that the adjustment of the aggregate loan rate to a monetary policy shock is sticky. We estimate the model for the euro area by adopting a minimum distance approach. Our findings exhibit that (i) financial costs are an important factor for price changes, (ii) frictions in the loan market have an effect on the propagation of monetary policy shocks as the pass-through from a change in money market rates to loan rates is incomplete, and (iii) the strength of the cost channel is mitigated as banks shelter firms from monetary policy shocks by smoothing loan rates.

The cost channel assigns banks a pivotal role in the transmission of monetary policy, which stems from the notion that firms depend on credit to pre-finance production (Barth and Ramey, 2000 and Ravenna and Walsh, 2006). Firms relate their price decisions to credit conditions as their marginal production costs are directly affected by interest rates. As a consequence, a monetary contraction induces upward pressure on prices by deteriorating credit conditions through higher interest rates. Christiano, Eichenbaum, and Evans (2005) and Ravenna and Walsh (2006) present a New Keynesian DSGE model that incorporates the cost channel besides the interest rate channel — i.e. the traditional aggregate demand channel — which presumes that prices decline immediately after a monetary contraction due to a pro-cyclical drop in output and unit labor costs. As the cost channel is counteracting the interest rate channel, this implies that the reaction of prices to a monetary policy shock is mitigated, while the response of output is amplified. Although, banks are embedded in this context explicitly the scope of their behavior is limited as they only act as neutral conveyors of monetary policy. This paper employs a New Keynesian DSGE model to explore the role of banks in the cost channel of monetary policy. Banks are assumed to extend loans to firms in an environment of monopolistic competition by setting their loan rates as in Calvo (1983) in a staggered way. In this setup, only a fraction of banks adjust their loan rates to a change in the policy rate, while the remaining fraction leaves their loan rates unchanged, which means that the reaction of the aggregate loan rate to a monetary policy shock is sticky. This is in contrast to Christiano, Eichenbaum, and Evans (2005) and Ravenna and Walsh (2006), who focus on banks operating costlessly under perfect competition with the consequence that the loan rate always equals the policy rate. Our motivation stems from the evidence presented by Ehrmann et al. (2001), which shows for the Euro area that the degree of imperfections in the loan market is distinctive. Moreover, de Bondt (2005), de Bondt, Mojon, and Valla (2005), Hofmann and Mizen (2004), Mojon (2001) and Sander and Kleimeier (2002) document that loan rates immediately react sluggishly to a change in money market rates, which implies that the interest rate pass-through is limited. So far, a number of studies have shown that the cost channel is empirically relevant. For the U.S., Barth and Ramey (2000) find that prices set by firms in several industries increase after a monetary contraction. Since the shift in prices occurs relative to wages this implies the existence of a cost-push shock. Likewise, Dedola and Lippi (2005) document that price changes by firms in different European countries are affected by the development of interest rates.3 For the euro area, Fabiani et al. (2006) reach similar results. Christiano, Eichenbaum, and Evans (2005) conclude that the cost channel in the U.S. matters for the transmission of monetary policy because it contributes to explain inflation inertia, which emerges after a monetary policy shock.4Ravenna and Walsh (2006) estimate a New Keynesian Phillips curve that explicitly incorporates the cost channel, and find that the dynamics of inflation is positively related to changes in interest rates. In a similar vein, Chowdhury, Hoffmann, and Schabert (2006) conclude that the cost channel is relevant in the U.S. and the U.K., but not in Germany and Japan, which suggests that the structure of the financial system — a market-based system versus a bank-based system — has an impact on the consequences of monetary policy actions. By contrast, Kaufmann and Scharler (2009) find in a cross region comparison between the US and the euro area that differences in the financial system are largely irrelevant to account for differences in the transmission of monetary shocks. Following Christiano, Eichenbaum, and Evans (2005) and Rotemberg and Woodford (1998), we estimate the DSGE model for the euro area by using a minimum distance approach, which consists of two steps. In the first step, we specify a VAR model to generate empirical impulse responses to a monetary policy shock. In the second step, we estimate the model parameters by matching the theoretical impulse responses as closely as possible to the empirical impulse responses. Our results exhibit that (i) price decisions by firms are affected by loan rates, (ii) frictions on the loan market play an important role in the propagation of monetary policy shocks as the immediate pass-through from a change in money market rates to loan rates is incomplete, and (iii) the cost channel contributes to generate an inertial response of inflation to a monetary policy shock, but its effect is mitigated because of a disproportionate adjustment of loan rates to changing money market rates. Overall, our results imply that the strength of the cost channel is mitigated since banks refrain from transmitting monetary policy shocks neutrally. Although, firms base their price decisions on credit conditions, the impact on inflation dynamics arising through a change in loan rates is partly suspended by an incomplete interest rate pass-through. The paper is structured as follows. In Section 2, the DSGE model is set out. Section 3 presents the empirical results that are obtained from the minimum distance estimation. In Section 4, the implications for the cost channel of monetary policy arising through an incomplete loan rate pass-through is discussed. Section 5 summarizes the main findings and concludes.

We used a New Keynesian DSGE model to explore the role of banks in the cost channel of monetary policy. Banks are assumed to extend credit to firms in an environment of monopolistic competition by setting their loan rates — as in Calvo (1983) — in a staggered way. Only a fraction of banks adjust their loan rates to a change in the policy rate, while the remaining fraction keeps the loan rate unchanged, which means that the reaction of the aggregate loan rate to a monetary policy shock is sticky. We estimated the DSGE model for the euro area by adopting a minimum distance approach. Our findings display that (i) price changes by firms are affected by movements in loan rates, (ii) frictions on the loan market play an important part in the transmission of monetary policy shocks as the pass-through from a change in money market rates to loan rates is incomplete, and (iii) the cost channel contributes to explain a delayed reaction of inflation to a monetary policy shock, but its effect is mitigated because the adjustment of loan rates to changes in money market rates is sluggish. Overall, our results suggest that the strength of the cost channel is alleviated since banks refrain from transmitting monetary policy shocks neutrally. Although, firms relate their price decisions to credit conditions, the effects on inflation dynamics arising through a change in loan rates are partly suppressed by a limited interest rate pass-through.