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Bank loan components and the time-varying effects of monetary policy shocks

Den Haan, Wouter J., Sumner, Steven W. and Yamashiro, Guy M. (2010) Bank loan components and the time-varying effects of monetary policy shocks. Economica, 78 (312). pp. 593-617. ISSN 1468-0335

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Abstract

The impulse response function (IRF) of an aggregate variable is time-varying if the IRFs of its components are different from each other and the relative magnitudes of the components are not constant—two conditions likely to be true in practice. We model the behaviour of loan components and document that the induced time variation for total loans is substantial, which helps to explain why studies describing total loans have had such a hard time finding a robust response of total bank loans to a monetary tightening.

Item Type: Article
Official URL: http://onlinelibrary.wiley.com/journal/10.1111/%28...
Additional Information: © 2011 The London School of Economics and Political Science
Library of Congress subject classification: H Social Sciences > HB Economic Theory
H Social Sciences > HG Finance
Journal of Economic Literature Classification System: G - Financial Economics > G2 - Financial Institutions and Services > G21 - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
G - Financial Economics > G2 - Financial Institutions and Services > G28 - Government Policy and Regulation
Sets: Departments > Economics
Collections > Economists Online
Rights: http://www.lse.ac.uk/library/usingTheLibrary/academicSupport/OA/depositYourResearch.aspx
Date Deposited: 14 Feb 2012 10:54
URL: http://eprints.lse.ac.uk/41886/

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