Bank Loan Components and the Time-varying Effects of Monetary Policy Shocks

被引：5
|
作者：
Den Haan, Wouter J. [1 ]
Sumner, Steven W. [2 ]
Yamashiro, Guy M. [3 ]
机构：
[1] Univ Amsterdam, NL-1012 WX Amsterdam, Netherlands
[2] Univ San Diego, San Diego, CA 92110 USA
[3] Calif State Univ Long Beach, Long Beach, CA 90840 USA
来源：
ECONOMICA | 2011年 / 78卷 / 312期
关键词：
AGGREGATION; PORTFOLIOS;
D O I：
10.1111/j.1468-0335.2010.00860.x
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
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.
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页码：593 / 617
页数：25
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