Further VAR evidence for the effectiveness of a credit channel in Germany

Arbeitspapier

In this paper, the empirical relevance of the credit channel for the explanation of monetary policy transmission in Germany during the period of monetary targeting from 1975 to 1998 is analyzed. While existing studies of the credit channel rely mostly on the analysis of monetary policy effects on balance sheet items, both quantities and financing costs are considered here. Using vector autoregressive models, impulse response analysis and forecast error variance decompositions, strong empirical evidence for the effectiveness and relevance of a credit channel in Germany can be reported.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: SFB 373 Discussion Paper ; No. 2002,66

Classification and Topics

• Classification: Wirtschaft ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models ; Financial Markets and the Macroeconomy ; Monetary Policy
• Subject: vectorautoregressive models ; Credit channel ; monetary policy transmission ; money channel

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Holtemöller, Oliver
• Event: Veröffentlichung
• (who): Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
• (where): Berlin
• (when): 2002

Further information

• Handle: http://hdl.handle.net/10419/65303
• URN: urn:nbn:de:kobv:11-10049290
• Last update: 10.03.2025, 11:45 AM CET