provided by Research Papers in Economics
THE BANK LENDING CHANNEL OF MONETARY POLICY:
IDENTIFICATION AND ESTIMATION USING PORTUGUESE MICRO
BANK DATA*
Lrnsa Farinha
Carlos Robalo Marques
(January 29, 2002)
Abstract
This paper investigates the existence of the bank-lending channel in the
transmission of monetary policy using Portuguese micro bank data. In contrast
to the conventional approach, which addresses the identification issue by
resorting to reduced form equations for bank credit with variables in
differences, we directly estimate loan-supply schedules with variables in
levels, thereby exploiting recent results on cointegration for panel data.
We conclude that there is evidence of the existence of a bank-lending
channel, and that the importance of the bank lending-channel is larger for less
capitalised banks.
Keywords: Monetary policy transmission mechanism; bank lending channel;
identification; nonstationary panel data; cointegration;
JEL classification: C33, E44, E52, G21;
* A previous version of this paper was presented at the conference on “Monetary Policy Transmission in
the Euro-Area” held in Frankfurt, December 18-19, 2001.
We specially thank, without implicating, Maximiano Pinheiro, Ferreira Machado, Anil Kashyap,
Michael Ehrmann, Leo de Haan and Nuno Ribeiro for helpful discussions on some important points of the
paper. The usual disclaimer applies.
More intriguing information
1. The Tangible Contribution of R&D Spending Foreign-Owned Plants to a Host Region: a Plant Level Study of the Irish Manufacturing Sector (1980-1996)2. Has Competition in the Japanese Banking Sector Improved?
3. Commuting in multinodal urban systems: An empirical comparison of three alternative models
4. The Demand for Specialty-Crop Insurance: Adverse Selection and Moral Hazard
5. ISSUES IN NONMARKET VALUATION AND POLICY APPLICATION: A RETROSPECTIVE GLANCE
6. THE ANDEAN PRICE BAND SYSTEM: EFFECTS ON PRICES, PROTECTION AND PRODUCER WELFARE
7. School Effectiveness in Developing Countries - A Summary of the Research Evidence
8. The name is absent
9. Dementia Care Mapping and Patient-Centred Care in Australian residential homes: An economic evaluation of the CARE Study, CHERE Working Paper 2008/4
10. The economic value of food labels: A lab experiment on safer infant milk formula