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Hülsewig, Oliver; Mayer, Eric; Wollmershäuser, Timo (2006): Bank loan supply and monetary policy transmission in Germany: An assessment based on matching impulse responses. In: Journal of Banking and Finance, Vol. 30, No. 10: pp. 2893-2910
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This paper addresses the credit channel in Germany by using aggregate data. We present a stylized model of the banking firm in which banks decide on their loan supply in the light of expectations about the future course of monetary policy. Applying a VAR model, we estimate the response of bank loans to a monetary policy shock taking account of the reaction of the output level and the loan rate. We estimate our model to evaluate the response of bank loans by matching the theoretical impulse responses with the empirical impulse responses to a monetary policy shock. Evidence in support of the credit channel can be reported.