A Peek Inside the Black Box: The Monetary Transmission Mechanism in Japan

Bayoumi, Tamim; Morsink, James

doi:10.5089/9781451855890.001

Cited by 24 publications

(12 citation statements)

References 14 publications

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“… a The estimated coefficients are similar to previous studies in terms of sign and magnitude. See for instance, Morsink and Bayoumi (1999), Alfaro et al (2003) and Christiano et al (2004). …”

Section: Empirical Estimation Resultsmentioning

confidence: 99%

“…In Morsink and Bayoumi's (1999) words, VAR allows us to place minimal restrictions on how monetary shocks affect the economy, which given the lack of consensus about the workings of the monetary transmission mechanism is a distinct advantage. In addition, this approach recognizes explicitly the simultaneity between monetary policy and macroeconomic developments, i.e.…”

Section: Methodsmentioning

confidence: 99%

“…Morsink and Bayoumi (1999) report that the balance sheet approach to the monetary transmission mechanism embodies the features that link a firm's investment decision with monetary shocks through changes in the firm's financial position. Interest rate effects of a monetary shock have two direct effects on the net worth of a borrower firm; first, by influencing interest payments on outstanding debt, and second by influencing the asset prices.…”

Section: Monetary Transmission: a Brief Surveymentioning

confidence: 99%

See 2 more Smart Citations

Is There a Bank Lending Channel in Southern African Banking Systems?

Lungu¹

2007

African Development Review

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Macroeconomic models currently used by policymakers generally assume that the functioning of financial markets can be fully summarized by financial prices, because the Modigliani and Miller (1958) theorem holds. However, the assumption that this theorem holds is questionable. This paper argues that there are frictions in the market which traditional models based on the Modigliani and Miller theorem fail to take into account in explaining how monetary policy and other shocks are transmitted to the economy and points to new directions. A comprehensive macroeconomic model should incorporate financial market interactions to enhance the understanding of the transmission mechanisms of monetary policy and other shocks. If market dynamics are not taken into account, macroeconomic models used by policymakers may point to wrong policy choices. Motivated by the lack of assessment of the recently launched financial reforms, deregulation, consolidations, financial innovations and joint payment systems, the paper assesses the process of monetary transmission mechanism by investigating evidence of a bank lending channel in SADC during the period 1990-2006 using data from the banking sector. Data from a panel of banks is used to identify shifts in the loan supply curve in response to changes in monetary policy using a vector autoregression (VAR) model. Although the results are mixed the paper generally reports the existence of a bank-lending channel in all SADC countries in the sample. The take-off point for monetary policy effects differs from one country to another.

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Section: Empirical Estimation Resultsmentioning

confidence: 99%

Section: Methodsmentioning

confidence: 99%

Section: Monetary Transmission: a Brief Surveymentioning

confidence: 99%

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Is There a Bank Lending Channel in Southern African Banking Systems?

Lungu¹

2007

African Development Review

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“…In the last step of our research, in order to provide evidence of an active bank lending channel, we follow the methodology of Bayoumi and Morsink (2001), who calculate and compare two sets of impulse responses: one with the variable of interest treated as endogenous in the VAR and another where it is included as an exogenous variable. The latter procedure generates a VAR identical to the former (with identical orthogonalized Fig.…”

Section: Impulse Response Analysis For Housing Institutionsmentioning

confidence: 99%

Banks’ lending behavior and monetary policy: evidence from Sweden

Papadamou

Siriopoulos

2010

Rev Quant Finan Acc

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The main purpose of this paper is to investigate the aggregate data about bank loans which may hide significant information about the monetary transmission mechanism. This study, by disaggregating bank loans data and using the relevant interest rates in Sweden, investigates the behaviour of banks after a monetary policy tightening. By using an unrestricted VAR model and impulse response analysis, our results show that a shock on the policy rate affects the main components of the banks' loan portfolios differently. Initially, banks do not reduce lending to firms and households and they present a sluggish reaction concerning the relevant interest rates. On the contrary, they reduce lending to mortgage credit institutions significantly since real estate lending can be considered as a risky long-term investment. Moreover mortgage credit institutions reduce lending for housing purposes to non-bank public. This reduction is mainly driven by flexible rate loans and loans secured on tenant owned apartments. Consequently, theses actions have a significant effect on real economic activity, by amplifying the initial shock from the tightening monetary policy. The latter result provides evidence of the bank lending channel in Sweden working via mortgage lending and could be very important for policy makers.

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“…Bernanke and Blinder (1988) using an expanded IS-LM framework to include the bank loans market find that monetary policy works partly by affecting the affecting the composition of bank assets. Bernanke and Blinder (1992), Christiano, Eichenbaum and Evans (1998), Bayoumi and Morsink (2001) and Suzuki (2004) show the effects of monetary policy frameworks on the real economy for advanced countries. Recently, Krusec (2009) investigates the transmission of monetary policy shocks in the euro area after 1999 and finds restrictive monetary policy shocks to reduce inflation will be at a cost of depressing economic activity.…”

Section: Introductionmentioning

confidence: 99%

The bank lending channel in Turkey: has it changed after the low-inflation regime?

Çatık

Karaçuka

2012

Applied Economics Letters

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A Peek Inside the Black Box: The Monetary Transmission Mechanism in Japan

Cited by 24 publications

References 14 publications

Is There a Bank Lending Channel in Southern African Banking Systems?

Is There a Bank Lending Channel in Southern African Banking Systems?

Banks’ lending behavior and monetary policy: evidence from Sweden

The bank lending channel in Turkey: has it changed after the low-inflation regime?

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