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http://hdl.handle.net/10609/113646
Título : | The credit supply channel of monetary policy: evidence from a FAVAR model with sign restrictions |
Autoría: | Holguín, Juan S. Uribe Gil, Jorge Mario |
Otros: | Universidad del Valle Universitat Oberta de Catalunya (UOC) |
Citación : | Holguín, J.S. & Uribe, J.M. (2019). The credit supply channel of monetary policy: evidence from a FAVAR model with sign restrictions. Empirical Economics, (), 1-30. doi: 10.1007/s00181-019-01759-5 |
Resumen : | We test whether the credit channel of the monetary policy was present in the United States' economy from January 2001 to April 2016. To this end, we use a factor-augmented vector autoregression, and we impose sensible theoretical sign restrictions in our structural identification scheme. We use the expected substitution effect between bank commercial loans and commercial papers to identify the credit supply channel. We found that the credit channel appears to have operated in the US economy during the sample period. However, when we split the sample, we found that the credit channel did not operate after the subprime crisis (close to the Zero Lower Bound of the interest rate). This result is robust to changing the sign restriction horizons. It supports current views in the literature regarding the ineffectiveness of the credit channel as a means to foster real economic activity during crises episodes. |
Palabras clave : | canal del crédito FAVAR restricciones de signo política monetaria |
DOI: | 10.1007/s00181-019-01759-5 |
Tipo de documento: | info:eu-repo/semantics/article |
Versión del documento: | info:eu-repo/semantics/submittedVersion |
Fecha de publicación : | 9-sep-2016 |
Licencia de publicación: | http://creativecommons.org/licenses/by-nc-nd/3.0/es/ ![]() |
Aparece en las colecciones: | Articles Articles cientÍfics |
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Uribe_EE_Credit_Supply.pdf | 1,45 MB | Adobe PDF | ![]() Visualizar/Abrir |
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