Bank Loan Components and the Time-varying Effects of Monetary Policy Shocks
Article first published online: 2 AUG 2010
© 2011 The London School of Economics and Political Science
Volume 78, Issue 312, pages 593–617, October 2011
How to Cite
DEN HAAN, W. J., SUMNER, S. W. and YAMASHIRO, G. M. (2011), Bank Loan Components and the Time-varying Effects of Monetary Policy Shocks. Economica, 78: 593–617. doi: 10.1111/j.1468-0335.2010.00860.x
- Issue published online: 19 SEP 2011
- Article first published online: 2 AUG 2010
- Final version received 19 March 2010.
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.