The Broad Credit and Bank Capital Channels of Monetary Policy Transmission in the Core and Peripheral Euro Area

Zbornik radova Ekonomskog fakulteta u Rijeci, časopis za ekonomsku teoriju i praksu - Proceedings of Rijeka Faculty of Economics, Journal of Economics and Business, Vol. 35, No. 2, 2017, pp. 249-275

27 Pages Posted: 25 Jan 2018

See all articles by Silvo Dajčman

Silvo Dajčman

University of Maribor

Josip Tica

University of Zagreb

Date Written: December 22, 2017

Abstract

The goal of the paper is to identify and estimate transmission of monetary policy impulses through the broad credit and bank capital monetary policy transmission channels in the “core” and “peripheral” countries of the euro area. We employ the Euro Area Banking Lending Survey to identify the channels. Following identification, we employ the data in a panel vector autoregression model (PVAR) to investigate the pass-through of the standard and nonstandard monetary policy impulses to the gross domestic product (GDP), inflation, and volume of loans. The results imply that channels are interrelated and the broad credit channel is relatively stronger than the bank capital channel, while the relative importance of the bank capital channel is higher in peripheral than core euro area countries.

Keywords: monetary policy, transmission channels, bank credit standards, nonstandard monetary policy

JEL Classification: E44, E5, G21

Suggested Citation

Dajčman, Silvo and Tica, Josip, The Broad Credit and Bank Capital Channels of Monetary Policy Transmission in the Core and Peripheral Euro Area (December 22, 2017). Zbornik radova Ekonomskog fakulteta u Rijeci, časopis za ekonomsku teoriju i praksu - Proceedings of Rijeka Faculty of Economics, Journal of Economics and Business, Vol. 35, No. 2, 2017, pp. 249-275, Available at SSRN: https://ssrn.com/abstract=3104373

Silvo Dajčman (Contact Author)

University of Maribor ( email )

2000 Maribor
Slovenia

Josip Tica

University of Zagreb ( email )

Trg maršala Tita 14
Zagreb
Croatia

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