Monetary Policy and Balance Sheets:
This paper evaluates the strength of the balance sheet channel in the U.S. monetary policy transmission mechanism over the past three decades. Using a Factor-Augmented Vector Autoregression model on an expanded data set, including sectoral balance sheet variables, we show that the balance sheets of...
Gespeichert in:
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| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Washington, D.C
International Monetary Fund
2013
|
| Schriftenreihe: | IMF Working Papers
Working Paper No. 13/158 |
| Online-Zugang: | UBW01 UEI01 LCO01 SBR01 UER01 SBG01 UBG01 FAN01 UBT01 FKE01 UBY01 UBA01 FLA01 UBM01 UPA01 UBR01 FHA01 FNU01 BSB01 TUM01 Volltext |
| Zusammenfassung: | This paper evaluates the strength of the balance sheet channel in the U.S. monetary policy transmission mechanism over the past three decades. Using a Factor-Augmented Vector Autoregression model on an expanded data set, including sectoral balance sheet variables, we show that the balance sheets of various economic agents act as important links in the monetary policy transmission mechanism. Balance sheets of financial intermediaries, such as commercial banks, asset-backed-security issuers and, to a lesser extent, security brokers and dealers, shrink in response to monetary tightening, while money market fund assets grow. The balance sheet effects are comparable in magnitude to the traditional interest rate channel. However, their economic significance in the run-up to the recent financial crisis was small. Large increases in interest rates would have been needed to avert a rapid rise of house prices and an unsustainable expansion of mortgage credit, suggesting an important role for macroprudential policies |
| Beschreibung: | 1 Online-Ressource (38 p) |
| ISBN: | 1484343506 9781484343500 |
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| illustrated | Not Illustrated |
| index_date | 2024-07-03T20:13:15Z |
| indexdate | 2024-07-10T09:35:22Z |
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| series2 | IMF Working Papers |
| spelling | Igan, Deniz Verfasser aut Monetary Policy and Balance Sheets Igan, Deniz Washington, D.C International Monetary Fund 2013 1 Online-Ressource (38 p) txt rdacontent c rdamedia cr rdacarrier IMF Working Papers Working Paper No. 13/158 This paper evaluates the strength of the balance sheet channel in the U.S. monetary policy transmission mechanism over the past three decades. Using a Factor-Augmented Vector Autoregression model on an expanded data set, including sectoral balance sheet variables, we show that the balance sheets of various economic agents act as important links in the monetary policy transmission mechanism. Balance sheets of financial intermediaries, such as commercial banks, asset-backed-security issuers and, to a lesser extent, security brokers and dealers, shrink in response to monetary tightening, while money market fund assets grow. The balance sheet effects are comparable in magnitude to the traditional interest rate channel. However, their economic significance in the run-up to the recent financial crisis was small. Large increases in interest rates would have been needed to avert a rapid rise of house prices and an unsustainable expansion of mortgage credit, suggesting an important role for macroprudential policies Online-Ausg Kabundi, Alain N. Sonstige oth Nadal-De Simone, Francisco Sonstige oth Tamirisa, Natalia T. Sonstige oth http://elibrary.imf.org/view/IMF001/20648-9781484343500/20648-9781484343500/20648-9781484343500.xml Verlag URL des Erstveröffentlichers Volltext |
| spellingShingle | Igan, Deniz Monetary Policy and Balance Sheets |
| title | Monetary Policy and Balance Sheets |
| title_auth | Monetary Policy and Balance Sheets |
| title_exact_search | Monetary Policy and Balance Sheets |
| title_exact_search_txtP | Monetary Policy and Balance Sheets |
| title_full | Monetary Policy and Balance Sheets Igan, Deniz |
| title_fullStr | Monetary Policy and Balance Sheets Igan, Deniz |
| title_full_unstemmed | Monetary Policy and Balance Sheets Igan, Deniz |
| title_short | Monetary Policy and Balance Sheets |
| title_sort | monetary policy and balance sheets |
| url | http://elibrary.imf.org/view/IMF001/20648-9781484343500/20648-9781484343500/20648-9781484343500.xml |
| work_keys_str_mv | AT igandeniz monetarypolicyandbalancesheets AT kabundialainn monetarypolicyandbalancesheets AT nadaldesimonefrancisco monetarypolicyandbalancesheets AT tamirisanataliat monetarypolicyandbalancesheets |