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Loan components and time varying effects of monetary policy shocks

Author

Listed:
  • Wouter J Den Haan
  • Steven Sumner

Abstract

This paper looks at the responses of bank loan components to a monetary tightening and compares the responses to those observed to output shocks. We find the results to be consistent with both a bank lending channel and a balance sheet channel for consumer loans. In contrast, wee find that C&I loans (and commercial paper) sharply decrease in response to output shocks but increase in response to monetary policy shocks. We argue that these results are hard to reconcile with a bank lending channel that constrains the supply of C&I loans. Instead we give reasons why the supply of C&I loans (and commercial paper) may increase during periods of high interest rates

Suggested Citation

  • Wouter J Den Haan & Steven Sumner, 2004. "Loan components and time varying effects of monetary policy shocks," 2004 Meeting Papers 238, Society for Economic Dynamics.
    • Handle: RePEc:red:sed004:238
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    Citations

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    Cited by:

    1. Cúrdia, Vasco & Woodford, Michael, 2011. "The central-bank balance sheet as an instrument of monetarypolicy," Journal of Monetary Economics, Elsevier, vol. 58(1), pages 54-79, January.
    2. Vasco Cúrdia & Michael Woodford, 2010. "Credit Spreads and Monetary Policy," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 42(s1), pages 3-35, September.

    More about this item

    Keywords

    monetary policy; impulse response functions; credit market frictions;
    All these keywords.

    JEL classification:

    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy

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