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| Author: | Haant, W.J. Den Sumner, S.W. Yamashiro, G.M. |
| Title: | Bank loan components and time-varying effects of monetary policy shocks |
| Journal: | Economica
2011 : OCT, VOL 78: 312 p. 593-617 |
| Index terms: | economics macroeconomic models monetary policy economic shocks time series bank lending |
| Freeterms: | impulse response gross domestic product commercial loans |
| Language: | eng |
| Abstract: | The impulse response function (IRF) of an aggregate variable is time-varying if the IRFs of its components are unlike each other and the relative scales of the components are not constant - two conditions likely to occur in practice. We model the behavior of loan components and demonstrate that the induced time variation for total loans is substantial, which helps to elaborate why studies describing total loans have struggled to find a robust response of total bank loans to a monetary tightening. |
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