Bank Lending and the Transmission of Monetary Policy: A Vecm Analysis for Germany

International University in Germany Working Paper No. 08/2001

29 Pages Posted: 1 May 2002

See all articles by Oliver Hülsewig

Oliver Hülsewig

University of Applied Sciences, Munich

Peter Winker

University of Giessen - Department of Economics

Andreas Worms

Deutsche Bundesbank, Economics Department

Date Written: December 2001

Abstract

This paper addresses the relevance of the bank lending channel in the transmission of monetary policy in Germany on the basis of a structural vector error correction model (VECM). In order to deal with the fundamental problem of identification we use restriction tests on cointegration vectors to identify long-run supply and demand relationships in the market for bank loans. We find empirical evidence that is consistent with a bank lending channel in Germany. To our knowledge, this analysis is the first study that looks at the German loan market in the context of monetary transmission by applying such a structural approach to aggregate data.

Keywords: Monetary Transmission, Bank Lending Channel, Vector Error Correction Model

JEL Classification: E44, E52

Suggested Citation

Hülsewig, Oliver and Winker, Peter and Worms, Andreas, Bank Lending and the Transmission of Monetary Policy: A Vecm Analysis for Germany (December 2001). International University in Germany Working Paper No. 08/2001. Available at SSRN: https://ssrn.com/abstract=304457 or http://dx.doi.org/10.2139/ssrn.304457

Oliver Hülsewig

University of Applied Sciences, Munich ( email )

Am Stadtpark 20
Munich, 81243
Germany

Peter Winker

University of Giessen - Department of Economics ( email )

Licher Str. 62
D-35394 Giessen, DE
Germany

HOME PAGE: http://wiwi.uni-giessen.de/home/oekonometrie/

Andreas Worms (Contact Author)

Deutsche Bundesbank, Economics Department ( email )

Wilhelm-Epstein-Strasse 14
60431 Frankfurt am Main
Germany

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