How important can bank lending shocks be for economic fluctuations?

被引：8
|
作者：
Halvorsen, Jorn I. [1 ,2 ]
Jacobsen, Dag Henning [3 ]
机构：
[1] Handelsho Yskolen BI, N-0442 Oslo, Norway
[2] Harvard Univ, RCC, Cambridge, MA 02138 USA
[3] Finans Norge, N-0202 Oslo, Norway
来源：
NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE | 2014年 / 29卷
关键词：
Identification; VAR; Bank lending; Monetary policy; MONETARY-POLICY SHOCKS; TRANSMISSION MECHANISM; CREDIT CHANNEL; MARKET;
D O I：
10.1016/j.najef.2014.05.006
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
We analyze the quantitative importance of bank lending shocks on real activity fluctuations in Norway and the UK, using structural VARs estimated on quarterly data from 1988 to 2010. We find that an adverse bank lending shock causes output to contract, and that such shocks can account for a substantial share of output volatility. This suggests that financial intermediation is an important source of shocks. The empirical analysis comprises the Norwegian banking crisis (1988-1992) and the recent period of banking failures in the UK. However, the results are also non-trivial when omitting periods of systemic banking distress from the sample. (C) 2014 Elsevier Inc. All rights reserved.
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页码：104 / 123
页数：20
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