文章基本信息

标题：Asymmetries in bank lending behaviour. Austria during the 1990s
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作者：Sylvia Kaufmann
期刊名称：Euro Area Balance of Payments and International Investment Position Statistics
印刷版ISSN：1830-3420
电子版ISSN：1830-3439
出版年度：2001
出版社：European Central Bank
摘要：This paper investigates both cross-sectional asymmetry (related to bank-specic char- acteristics like size and liquidity) and asymmetries over time (potentially related to the ov erall state of the economy) in Austrian bank lending reaction to monetary policy. The rst t ypeof asymmetry is accounted for by including in teraction terms, and the second type is captured by latent state-dependent parameters. Estimation is cast into a Bayesian framework, and the posterior inference is obtained using Markov chain Monte Carlo simulation methods. The results document a signicant asym- metric eect of interest rate changes over time on bank lending. During economic recovery, lagged interest rate changes ha v eno signicant eect on lending. Where the eects are signicant, liquidity emerges as the bank characteristic that determines cross-sectional asymmetry.
关键词：Asymmetry; bank lending; Markov switching; Markov chain Monte Carlo.ns.r