Arbeitspapier
Lending standards, credit booms and monetary policy
This paper investigates the risk channel of monetary policy on the asset side of banks' balance sheets. We use a factoraugmented vector autoregression (FAVAR) model to show that aggregate lending standards of U.S. banks, such as their collateral requirements for firms, are significantly loosened in response to an unexpected decrease in the Federal Funds rate. Based on this evidence, we reformulate the costly state verification (CSV) contract to allow for an active financial intermediary, embed it in a New Keynesian dynamic stochastic general equilibrium (DSGE) model, and show that - consistent with our empirical findings - an expansionary monetary policy shock implies a temporary increase in bank lending relative to borrower collateral. In the model, this is accompanied by a higher default rate of borrowers.
- Sprache
-
Englisch
- Erschienen in
-
Series: Working Paper ; No. 1411
- Klassifikation
-
Wirtschaft
Financial Markets and the Macroeconomy
Monetary Policy
- Thema
-
Bank lending standards
Credit supply
Monetary policy
Risk channel
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Afanasyeva, Elena
Güntner, Jochen
- Ereignis
-
Veröffentlichung
- (wer)
-
Johannes Kepler University of Linz, Department of Economics
- (wo)
-
Linz
- (wann)
-
2014
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Afanasyeva, Elena
- Güntner, Jochen
- Johannes Kepler University of Linz, Department of Economics
Entstanden
- 2014
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