Quotation Frühwirth-Schnatter, Sylvia, Kaufmann, Sylvia. 2006. How do changes in monetary policy affect bank lending? An analysis of Austrian bank data. Journal of Applied Econometrics 21 (3): 275-305.


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Abstract

Using a panel of Austrian bank data we show that the lending decisions of the smallest banks are more sensitive to interest rate changes, and that for all banks, sensitivity changes over time. We propose to estimate the groups of banks that display similar lending reactions by means of a group indicator which, after estimation, indicates each bank's classification. Additionally, we estimate a state indicator that indicates the periods during which the lending reaction differs from what we normally observe. Bayesian methods are used for estimation; a sensitivity analysis and a forecast evaluation confirm our model choice.

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Publication's profile

Status of publication Published
Affiliation WU
Type of publication Journal article
Journal Journal of Applied Econometrics
Citation Index SSCI
WU Journalrating 2009 A
WU-Journal-Rating new FIN-A, VW-B, WH-B
Language English
Title How do changes in monetary policy affect bank lending? An analysis of Austrian bank data
Volume 21
Number 3
Year 2006
Page from 275
Page to 305
URL http://onlinelibrary.wiley.com/doi/10.1002/jae.830/abstract

Associations

People
Frühwirth-Schnatter, Sylvia (Details)
External
Kaufmann, Sylvia (Austria)
Organization
Institute for Statistics and Mathematics IN (Details)
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