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

0.513

(21.68)

0.707

(29.16)

0.600

(13.80)

0.438

(10.01)

0.527

(15.31)

0.716

(21.23)

0.290

(10.89)

0.679

(26.06)

ln(D / P∖_t. d96

0.239

(6.48)

0.046

(2.63)

0.157
(4.89)

0.046
(2.90)

0.215

(5.99)

0.004

(0.22)

0.224
(6.06)

0.087
(5.00)

ln( D / P )_й. z_it

0.151

(8.36)

0.044
(2.61)

0.245

(3.62)

0.067

(1.35)

-3.934

(-16.82)

-1.074

(-10.39)

ln(K / P)_u

0.296

(4.85)

-0.415

(-7.59)

0.292

(4.95)

0.601

(8.75)

ln(K / P)t.d96

-0.293

(-5.88)

-0.161

(-3.68)

-0.321

(-6.72)

-0.240

(-4.85)

^ln(k / ^p) it. ^zt

-0.102

(-3.15)

-0.412

(-2.49)

5.918

(11.46)

l_t

15.146

(11.94)

12.655

(9.72)

17.031

(15.72)

17.772

(15.99)

12.137

(9.75)

9.411

(7.29)

17.169

(13.88)

12.959

(9.75)

^lt^d 96

15.090
(2.59)

11.453

(1.94)

9.225

(1.87)

17.582

(3.32)

12.720

(2.36)

4.388

(0.79)

16.397
(3.03)

9.039
(1.56)

^ltzit

0.746

(1.23)

102.367

(8.54)

123.174

(10.16)

24.914

(0.37)

st

-9.808

(-7.13)

-9.565

(-6.74)

-9.648

(-8.28)

-10.852

(-8.52)

-7.597

(-5.78)

-6.804

(-4.94)

-9.501

(-7.35)

-8.604

(-6.14)

st^d 96

-25.165

(-2.80)

-16.445

(-1.79)

-16.648

(-2.19)

-25.452

(-3.09)

-21.572

(-2.59)

-4.363

(-0.50)

-25.734

(-3.09)

-13.877

(-1.54)

stzit

-1.179

(-1.91)

-74.449

(-6.61)

-91.884

(-8.15)

20.347

(1.59)

^πt

-3.632

(-3.42)

-1.211

(-1.14)

-8.316

(-9.00)

-7.439

(-7.67)

-1.386

(-1.36)

0.502

(0.48)

-7.019

(-6.75)

-4.176

(-3.90)

zit

0.349
(4.52)

0.276
(4.75)

-8.515

(-13.71)

-9.215

(-14.18)

-5.193

(-4.25)

-1.045

(-3.20)

Spread restriction

(-1.45)

(-0.56)

—

(0.02)

—

—

—

(-0.15)