Further VAR Evidence for the Effectiveness of a Credit Channel in Germany

Applied Economics Quarterly, Vol. 49, 2003

Posted: 20 Jul 2017

See all articles by Oliver Holtemöller

Oliver Holtemöller

Halle Institute for Economic Research; Martin Luther University Halle-Wittenberg

Date Written: 2003

Abstract

In this paper, the empirical relevance of the credit channel for the explanation of monetary policy transmission in Germany during the period of monetary targeting from 1975 to 1998 is analyzed. While existing studies of the credit channel rely mostly on the analysis of monetary policy effects on balance sheet items, both quantities and financing costs are considered here. Using vector autoregressive models, impulse response analysis and forecast error variance decompositions, strong empirical evidence for the effectiveness and relevance of a credit channel in Germany can be reported.

Keywords: vectorautoregressive models, Credit channel, monetary policy transmission, money channel

JEL Classification: C32, E44, E52

Suggested Citation

Holtemöller, Oliver, Further VAR Evidence for the Effectiveness of a Credit Channel in Germany (2003). Applied Economics Quarterly, Vol. 49, 2003, Available at SSRN: https://ssrn.com/abstract=3004418

Oliver Holtemöller (Contact Author)

Halle Institute for Economic Research ( email )

P.O. Box 11 03 61
Kleine Maerkerstrasse 8
D-06017 Halle, 06108
Germany

Martin Luther University Halle-Wittenberg ( email )

Halle-Wittenberg, Sachsen-Anhalt
Germany

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