Bank loan portfolios and the monetary transmission mechanism

• 成果类型: Article
• 署名作者: den Haan, Wouter J.; Sumner, Steven W.; Yamashiro, Guy M.
• 署名单位: Vrije Universiteit Amsterdam; University of Amsterdam; University of San Diego; California State University System; California State University Long Beach
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2006.01.008
• 发表日期: 2007
• 页码: 904-924
• 关键词: hedging; bank capital regulation; Interest rates

摘要

We study the portfolio behavior of bank loans following a monetary tightening and find that real estate and consumer loans sharply decrease, while commercial and industrial (C&I) loans increase. These responses are compared with responses following non-monetary shocks, which also reduce output but keep interest rates roughly unchanged. During such a non-monetary downturn, C&I loans sharply decrease, while real estate and consumer loans show no substantial response. These responses, together with the responses of relevant lending rates, are hard to reconcile with a decline in the supply of C&I bank loans during a monetary downturn as stressed by the bank-lending channel. Several arguments are presented explaining why the supply of C&I loans may actually increase after a monetary contraction. (c) 2006 Elsevier B.V. All rights reserved.