Bank Market Power and Monetary Policy Transmission: Evidence from a Structural Estimation

• 成果类型: Article
• 署名作者: Wang, Yifei; Whited, Toni M.; Wu, Yufeng; Xiao, Kairong
• 署名单位: Cornerstone Research; University of Michigan System; University of Michigan; National Bureau of Economic Research; University of Illinois System; University of Illinois Chicago; University of Illinois Chicago Hospital; Columbia University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.13159
• 发表日期: 2022
• 页码: 2093-2141
• 关键词: credit; equity; MODEL; debt

摘要

We quantify the impact of bank market power on monetary policy transmission through banks to borrowers. We estimate a dynamic banking model in which monetary policy affects imperfectly competitive banks' funding costs. Banks optimize the pass-through of these costs to borrowers and depositors, while facing capital and reserve regulation. We find that bank market power explains much of the transmission of monetary policy to borrowers, with an effect comparable to that of bank capital regulation. When the federal funds rate falls below 0.9%, market power interacts with bank capital regulation to produce a reversal of the effect of monetary policy.