The bank-lending channel empirically revisited

Jørn I. Halvorsen and Dag Henning Jacobsen

Journal of Financial Stability, 2016, vol. 27, issue C, 95-105

Abstract: This study examines the role of bank equity and bank lending in the monetary transmission mechanism in Norway from January 1993 to August 2008. We apply linear and nonlinear vector-auto-regressive models (VARs) estimated using aggregate monthly data. The results provide support for a “risk-taking channel” in the form of a recasted bank-lending channel running through market-based wholesale funding, in which the impact of monetary policy depends on banks’ financial strength. When banks are weakly capitalized, results based on a nonlinear VAR show a larger monetary-policy effect on real activity.

Keywords: VAR; Nonlinearity; Bank lending channel; Monetary policy (search for similar items in EconPapers)
JEL-codes: C32 E44 E51 E52 (search for similar items in EconPapers)
Date: 2016
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finsta:v:27:y:2016:i:c:p:95-105

DOI: 10.1016/j.jfs.2016.10.004

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