The Credit Channel of Monetary Policy: An Inquiry into Banks Lending Standard

• Main Authors: Yang-Jun Huang, 黃揚峻
• Other Authors: Nan-Kuang Chen
• Format: Others
• Language: zh-TW
• Published: 2009
• Online Access: http://ndltd.ncl.edu.tw/handle/04422031535403673757

碩士 === 國立臺灣大學 === 經濟學研究所 === 97 === In general, economists agree that money is neutral in the short run, but there is no consensus between them as to how monetary transmission mechanism works. Keynesians and Monetarists tend to emphasize on liquidity, they categorize assets into money and other nonmoney financial assets called bond. Under the assumption of perfect market, only goods market and money market need to be settled, bond market will automatically clear according to walras’ law. This simplified assumption leads to two major conclusions: money affects economy via interest, that is, financial system is a veil; and any massive financial disorder won’t cause any real effects. During 1930s Great Depression, 1990-1992 recession, and 2007 subprime crisis, evidence were found that financial systems have real effects. Lately many economists devote themselves to relaxing perfect capital market assumption by considering imperfect information theory, resulting in the so called “credit view”. In this thesis, I utilize a unique survey data that measures banks’ lending standard as a proxy for availability of bank credit. Data for both commercial loan and residential mortgage were considered individually. As to model specification, threshold autoregressive and vector autoregressive were used to review various hypotheses predicted by the credit view. As a result, there exists a threshold effect in commercial loan market when variable for monetary policy substance were used as threshold variable. In contraction regime, lending standard affects loan significantly; and when in monetary expansion regime, it affects loan insignificantly. As for mortgage market, there is no threshold effect. Commercial loan market is supportive of credit view, while mortgage market is supportive of liquidity view. In vector autoregressive, a phenomenon called “flight to quality” shared by credit view was presented, but there is no evidence suggesting financial variable as accelerator, which contradicted the credit view.