Acceso usuarios
L. Gambacorta, Carlotta Rossi
This article investigates the possible nonlinearities in the response of bank lending to monetary policy shocks in the euro area. The credit market is modelled over the period 1985 to 2005 by means of an Asymmetric Vector Error Correction Model (AVECM) involving four endogenous variables (loans to the private sector, real Gross Domestic Product (GDP), lending rate and consumer price index) and one exogenous variable (money market rate). The main features of the model are the existence of two cointegrating equations representing the long-run credit demand and supply and the possibility for loading and lagged term coefficients to assume different values depending on the monetary policy regime (easing or tightening). The main result of this article is that the effect on credit, GDP and prices of a monetary policy tightening is larger than the effect of a monetary policy easing. This finding supports the existence of an asymmetric broad credit channel in the euro area.
