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This paper uses loan application-level data from a peer-to-peer lending platform to study the risk-taking channel of monetary policy. By employing a direct ex-ante measure of risk-taking and estimating the simultaneous equations of loan approval and loan amount, we are the first to provide...
Persistent link: https://www.econbiz.de/10012057284
We estimate a logit mixture vector autoregressive model describing monetary policy transmission in the euro area over the period 2003Q1–2019Q4 with a special emphasis on credit conditions. With the help of this model, monetary policy transmission can be described as mixture of two states...
Persistent link: https://www.econbiz.de/10012383710
Using an estimated dynamic stochastic general equilibrium model with banking, this paper first provides evidence that monetary policy reacted to bank loan growth in the US during the Great Moderation. It then shows that the optimized simple interest-rate rule features virtually no response to...
Persistent link: https://www.econbiz.de/10010509577
weakened if banks are poorly capitalized, or if the capital adequacy requirement is stringent. The paper also assesses the …
Persistent link: https://www.econbiz.de/10011538929
This paper explores the role that the imperfect knowledge of the structure of the economy plays in the uncertainty surrounding the effects of rule-based monetary policy on unemployment dynamics in the euro area and the US. We employ a Bayesian model averaging procedure on a wide range of models...
Persistent link: https://www.econbiz.de/10003813633
including both Islamic and conventional banks, over the period 1994:01-2015:06. A two-regime threshold vector autoregression … can be interpreted in terms of the distinctive features of Islamic banks. …
Persistent link: https://www.econbiz.de/10011444122
This paper explores the importance of housing and mortgage market heterogeneity in 12 European countries for the transmission of monetary policy. We use a panel VAR model which is estimated over the period 19952006 to generate impulse responses of key macroeconomic variables to a monetary policy...
Persistent link: https://www.econbiz.de/10003872444
We use an original monthly dataset of 131 individual euro area banks to examine the effectiveness and transmission … indeed been succesful in stimulating the credit flow of banks to the private sector. Second, we find support for the "bank … lending view" of monetary transmission. Specifically, the policies have had a greater impact on loan supply of banks that are …
Persistent link: https://www.econbiz.de/10011646726
We analyze the effect of negative monetary policy rates on banks, using detailed supervisory information from … Switzerland. For identification, we compare changes in the behavior of banks that had different fractions of their central bank … reserves exempt from negative rates. More affected banks reduce costly reserves and bond financing while maintaining non …
Persistent link: https://www.econbiz.de/10011795014
How much deposits and equity a bank has influences how a banks’ lending responds to monetary policy. While the … show in a value-at-risk RTC model that the lending for banks with relatively more equity and non-interest-bearing deposits …”. In a panel of US banks, we find strong evidence in support of our model for various risk measures. …
Persistent link: https://www.econbiz.de/10013390943