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Asymmetries in Bank Lending Behaviour. - Austria During the 1990s

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Abstract

This paper investigates both cross-sectional asymmetry (related to bank-speci.c characteristics like size and liquidity) and asymmetries over time (potentially related to the overall state of the economy) in Austrian bank lending reaction to monetary policy. The first type of asymmetry is accounted for by including interaction terms, and the second type is captured by latent state-dependent parameters. Estimation is cast into a Bayesian framework, and the posterior inference is obtained using Markov chain Monte Carlo simulation methods. The results document a significant asymmetric effect of interest rate changes over time on bank lending. During economic recovery, lagged interest rate changes have no significant effect on lending. Where the effects are significant, liquidity emerges as the bank characteristic that determines cross-sectional asymmetry.

Suggested Citation

  • Sylvia Kaufmann, 2002. "Asymmetries in Bank Lending Behaviour. - Austria During the 1990s," Working Papers 56, Oesterreichische Nationalbank (Austrian Central Bank).
    • Handle: RePEc:onb:oenbwp:56
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    Cited by:

    1. Sylvia Kaufmann & Sylvia Frühwirth-Schnatter, 2006. "How do changes in monetary policy affect bank lending? An analysis of Austrian bank data," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(3), pages 275-305.
    2. repec:onb:oenbwp:y::i:90:b:1 is not listed on IDEAS
    3. repec:onb:oenbwp:y:2003:i:5:b:1 is not listed on IDEAS
    4. Jean-Bernard Chatelain & Michael Ehrmann & Andrea Generale & Jorge Martínez-Pagés & Philip Vermeulen & Andreas Worms, 2003. "Monetary Policy Transmission in the Euro Area: New Evidence From Micro Data on Firms and Banks," Journal of the European Economic Association, MIT Press, vol. 1(2-3), pages 731-742, 04/05.
    5. Sylvia Kaufmann & Maria Teresa Valderrama, 2004. "Modeling Credit Aggregates," Working Papers 90, Oesterreichische Nationalbank (Austrian Central Bank).
    6. Kashyap, Anil K. & Mojon, Benoît & Terlizzese, Daniele & Backé, Peter, 2002. "Monetary Transmission in the Euro Area : Where Do We Stand?," Working Paper Series 114, European Central Bank.
    7. Vanessa Redak & Alexander Tscherteu, 2003. "Basel II, Procyclicality and Credit Growth - First Conclusions from QIS 3," Financial Stability Report, Oesterreichische Nationalbank (Austrian Central Bank), issue 5, pages 56-69.
    8. Mojon, Benoît & Kashyap, Anil K. & Angeloni, Ignazio & Terlizzese, Daniele, 2002. "Monetary Transmission in the Euro Area : Where Do We Stand?," Working Paper Series 0114, European Central Bank.
    9. repec:onb:oenbwp:y::i:85:b:1 is not listed on IDEAS

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    More about this item

    Keywords

    Asymmetry; bank lending; Markov switching; Markov chain Monte Carlo;
    All these keywords.

    JEL classification:

    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • E51 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Money Supply; Credit; Money Multipliers

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