The bank lending channel of monetary policy: identification and estimation using Portuguese micro bank data

Regressors

(1)

(2)

Size

Liquidity

Capitalisation

(3)

(4)

(5)

(6)

(7)

(8)

ln(D / P)_u

0.615

(24.83)

0.721

(28.99)

0.676

(14.61)

0.490

(10.86)

0.633

(18.38)

0.717

(21.34)

0.409

(14.97)

0.713

(26.26)

ln(D / P∖_t. z_it

0.156

(8.16)

0.049
(2.80)

-0.051

(-0.75)

0.027
(0.54)

-3.947

(-16.23)

-0.747

(-6.97)

ln(K / P)_u

0.156
(3.00)

-0.525

(-10.11)

0.130

(2.74)

0.470
(7.89)

ln( K / P )_lt. z₁t

-0.101

(-3.03)

0.022

(0.13)

6.462

(12.14)

lt

19.318

(15.00)

16.734

(12.96)

17.953

(16.14)

22.262

(18.91)

14.787

(12.10)

12.839

(10.34)

22.187
(18.01)

16.617

(12.40)

lt^zit

0.523

(0.81)

101.926

(8.40)

111.513

(9.30)

24.639

(1.79)

st

-15.905

(-11.85)

-14.442

(-10.77)

-11.767

(-10.22)

-16.110

(-13.24)

-11.835

(-9.55)

-10.801

(-8.59)

-17.096

(-13.63)

-13.595

(-10.08)

st^zit

-1.410

(-2.26)

-72.969

(-6.38)

-79.466

(-7.10)

13.953
(1.04)

^πt

-2.504

(-2.24)

-1.114

(-1.02)

-7.538

(-7.66)

-6.476

(-6.45)

-0.470

(-0.45)

0.635

(0.61)

-5.114

(-4.70)

-3.069

(-2.76)

^zit

0.411

(5.04)

0.214
(3.55)

-8.213

(-13.27)

-9.005

(-14.26)

-6.589

(-5.15)

-0.444

(-1.32)

Spread restriction

(4.30)

(2.98)

—

(8.79)

—

—

—

(3.81)