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The impulse response function (IRF) of an aggregate variable is time-varying if the IRFs of its components are different from each other and the relative magnitudes of the components are not constant—two conditions likely to be true in practice. We model the behaviour of loan components and document that the induced time variation for total loans is substantial, which helps to explain why studies describing total loans have had such a hard time finding a robust response of total bank loans to a monetary tightening.