Shocks to Bank Lending, Risk-Taking, Securitization, and Their Role for U.S. Business Cycle Fluctuations

43 Pages Posted: 16 Apr 2014

See all articles by Gert Peersman

Gert Peersman

Ghent University - Department of Financial Economics

Wolf Wagner

Erasmus University Rotterdam (EUR)

Multiple version iconThere are 4 versions of this paper

Date Written: March 15, 2014

Abstract

Shocks to bank lending, risk-taking and securitization activities that are orthogonal to real economy and monetary policy innovations account for more than 30 percent of U.S. output variation. The dynamic effects, however, depend on the type of shock. Expansionary securitization shocks lead to a permanent rise in real GDP and a fall in inflation. Bank lending and risk-taking shocks, in contrast, have only a temporary effect on real GDP and tend to lead to a (moderate) rise in the price level. Furthermore, there is evidence for a strong search-for-yield effect on the side of investors in the transmission mechanism of monetary policy. These effects are estimated with a structural VAR model, where the shocks are identified using a model of bank risk-taking and securitization.

Keywords: bank lending, risk-taking, securitization, SVARs

JEL Classification: C32, E30, E44, E51, E52

Suggested Citation

Peersman, Gert and Wagner, Wolf, Shocks to Bank Lending, Risk-Taking, Securitization, and Their Role for U.S. Business Cycle Fluctuations (March 15, 2014). CESifo Working Paper Series No. 4701, Available at SSRN: https://ssrn.com/abstract=2425107 or http://dx.doi.org/10.2139/ssrn.2425107

Gert Peersman (Contact Author)

Ghent University - Department of Financial Economics ( email )

W. Wilsonplein 5D
Ghent, 9000
Belgium
+3292643514 (Phone)

HOME PAGE: www.feb.ugent.be/fineco/gert.html

Wolf Wagner

Erasmus University Rotterdam (EUR) ( email )

Burgemeester Oudlaan 50
3000 DR Rotterdam, Zuid-Holland 3062PA
Netherlands

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