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
Date Written: December 22, 2017
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: Suggested Citation