伯南克：货币政策的信贷传到渠道

2021/4/6
3
2021/4/6
4
2021/4/6
5
2021/4/6
6
The Balance Sheet Channel
Based on the theoretical prediction that the external finance premium facing a borrower should depend on borrower’s financial position.
The greater is the borrower’s net worth, the lower the external finance premium should be.
Since borrower’s financial position affect the external finance premium, and thus the overall terms of credit that they face, fluctuations in the quality of borrowers balance sheets should affect their investment decisions.
2021/4/6
2
Evidence from Vector Autoregressions (VAR’s)
To evaluate the effect of a tightening of monetary policy on the economy, the authors estimate a series of VAR’s, using the federal funds rate as a proxy for the stance of monetary policy. It is assumed that the shock to the federal funds rate represents an unanticipated change in monetary policy.
2021/4/6
7
The balance sheet channel of monetary policy arises because shifts in FED policy affect not only market interest rates per se but also the financial position borrowers.
Two possibilities: a) Balance sheet channel: effect of monetary policy on the balance sheet and income statements of borrowers. b) Bank lending channel: effect of monetary policy on the supply of loans by financial institutions.
2021/4/6
8
The authors proxy the financial position of firms with the coverage ratio defined as
Interest payments/interest payments+profits
Increases in the coverage ratio translate into weaker balance sheet positions.
The effect on the financial position of borrowers is direct and indirect: a) Direct: rising interest rates directly increase interest expenses. b) Indirect: firm’s revenues decline.
The relationship between the coverage ratio and the federal funds rate is the following:
2021/4/6
9
2021/4/6
10
In addition to the graphical analysis of the coverage ratio and the federal funds rate, the authors estimate a VAR considering financial variables including: interest payments, gross income, profits, and employee compensation.
A reduction in the supply of bank credit, relative to other forms of credit, is likely to increase the external finance premium and to reduce real activity.
Inside the Black Box: The Credit Channel of Monetary Policy Transmission
Bernake and Gertler
2021/4/6
1
Introduction
Why should actions taken by the central bank have any effect on the external finance premium in credit markets?
The VAR models a positive one standard deviation of the federal funds rate.
2021/4he Bank Lending Channel
Monetary policy may also affect the external finance premium by shifting the supply of intermediate credit.