Working Paper: NBER ID: w2232
Authors: George Sofianos; Paul Wachtel; Arie Melnik
Abstract: The impact of loan commitment agreements on the way in which changes in monetary policy affects the economy is examined. In particular, the empirical relevance of quantity credit rationing in the transmission of monetary policy is studied with VAR models. We find evidence of a differential impact of monetary policy on loans under commitment and not under commitment. Our conclusion is that credit rationing for bank loans does occur, although loan commitments effectively protect borrowers from credit rationing. Thus, loan commitments which insulate borrowers from the effects of quantity rationing force monetary policy to work exclusively through interest rate channels.
Keywords: No keywords provided
JEL Codes: No JEL codes provided
Edges that are evidenced by causal inference methods are in orange, and the rest are in light blue.
| Cause | Effect |
|---|---|
| Monetary Policy (E52) | Loans Not Under Commitment (H81) |
| Monetary Policy (E52) | Loans Under Commitment (H81) |
| Monetary Policy (E52) | Loan Rates (E43) |
| Loan Rates (E43) | Loans Under Commitment (H81) |
| Loan Rates (E43) | Loans Not Under Commitment (H81) |
| Loans Under Commitment (H81) | Loans Not Under Commitment (H81) |