Loan supply shocks during the financial crisis: Evidence for the Euro area

Hristov, Nikolay; Hülsewig, Oliver; Wollmershäuser, Timo

doi:10.1016/j.jimonfin.2011.10.007

“…We summarize the 7 identification restrictions in Table 2. Similar restrictions to identify credit shocks were recently applied by Alessi (2011), Busch et al (2010), Hristov et al (2011), and Tamási & Világi (2011).…”

Section: Identification and Structural Interpretationmentioning

confidence: 90%

Evaluating changes in the monetary transmission mechanism in the Czech Republic

Franta

¹

,

Horváth

²

,

Rusnák

³

2013

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Abstract: We investigate the evolution of the monetary policy transmission mechanism in the Czech Republic over the 1996-2010 period by employing a time-varying parameters Bayesian vector autoregression model with stochastic volatility. We evaluate whether the response of GDP and the price level to exchange rate or interest rate shocks changes over time, with a focus on the period of the recent financial crisis. Furthermore, we augment the estimated system with a lending rate and credit growth to shed light on the relative importance of financial shocks for the macroeconomic environment. Our results suggest that output and prices have become increasingly responsive to monetary policy shocks, probably reflecting financial sector deepening, more persistent monetary policy shocks, and overall economic development associated with disinflation. On the other hand, exchange rate pass-through has weakened somewhat over time, suggesting improved credibility of inflation targeting in the Czech Republic with anchored inflation expectations. We find that credit shocks had a more sizeable impact on output and prices during the period of bank restructuring with difficult access to credit. In general, our results show that financial shocks are less important for the aggregate economy in an environment of a stable financial system. Terms of use: Documents in

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“…Helbling et al, 2011;Hristov et al, 2012). Finally, the 1 In the Euro area retail rates play an important role in the transmission of monetary policy, since borrowing and lending take place predominantly through the intermediation of the banking sector, contrary to some major economies where securities markets are the main funding source of the real sector.…”

Section: Introductionmentioning

confidence: 99%

“…Mote Carlo simulations by Rebucci (2010) show in fact that the efficiency of the mean-group estimator is very limited in short samples. 6 Therefore, we follow Born et al (2012), Hristov et al (2012) and Tillmann (2012) and adopt the fixed effect estimator.…”

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confidence: 99%

The interest rate pass-through in the Euro area during the global financial crisis

Hristov¹,

Hülsewig²,

Wollmershäuser³

2014

Journal of Banking & Finance

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. The Interest Rate Pass-Through in the Euro Area During the Global Financial Crisis Abstract This paper uses panel vector autoregressive models and simulations of an estimated DSGE model to explore the reaction of Euro-area banks to the global financial crisis. We focus on their interest-rate setting behavior in response to standard macroeconomic shocks. Our main empirical finding is that the pass-through from changes in the money market rate to retail bank rates became significantly less complete during the crisis. Model simulations show that this result can be well explained by a significant increase in the frictions that the banks' business is subject to. Terms of use: Documents in EconStor mayJEL-Code: E400, E430, E520.

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“…Bijsterbosch and Falagiarda (2015) show that while credit supply shocks have a procyclical impact in the euro area, there is evidence of a strong rise in cross-country heterogeneity, reflecting the financial fragmentation in the euro area associated with the sovereign debt crisis and weaker banks' balance sheets. Hristov et al (2011) show that in some EU countries, e.g. Austria, Finland or Italy, the dampening effects of loan supply shocks were particularly relevant in the course of 2008, while in other countries, e.g., Germany, Spain or France, they predominantly emerged during 2009 and 2010. There are some examples of trying to further disentangle credit supply shocks.…”

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confidence: 91%

“…Many authors try to specifically identify credit supply shocks using the SVAR framework (Duchi and Elbourne 2016;Furlanetto et al 2014;Gambetti and Musso 2012;Hristov et al 2011;Peersman 2011;Bijsterbosdch and Falagiarda 2015;Barnett and Thomas 2013). They typically find that credit supply shocks matter and are a substantial source of macroeconomic fluctuations, though, naturally, the degree to which the credit supply had affected the economies during the recent economic cycle does differ.…”

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confidence: 99%