Abstract
We employ a threshold regression model to investigate asymmetry in the Dutch credit demand equation. Our results show that in periods of expansionary monetary policy, the impact of interest changes is larger than in periods of monetary tightening. We do not find different effects over the business cycle, i.e. between booms and recessions. Both findings are in line with previous studies. Our results imply that non-linearity in de credit demand equation should be taken into account in assessments of monetary policy stance.
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
Preview
Unable to display preview. Download preview PDF.
References
Asea, P.K. and B. Blomberg (1998), “Lending Cycles,” Journal of Econometrics 83, pp. 89–128.
Azariadis, C. and B. Smith (1998), “Financial Intennediation and Regime Switching in Business Cycles,” The American Economic Review 88(3), pp. 516–536.
Bernanke, B. and A.S. Blinder (1992), “The Federal Funds Rate and the Transmission of Monetary Policy,” The American Economic Review 82(4), pp. 901–921.
Bernanke, B., M. Gertler and S. Gilchrist (1994), “The Financial Accelerator and the Flight to Quality,” NBER Working Paper 4789, Cambridge.
Bernanke, B. and I. Mihov (1998), “Measuring Monetary Policy,” Quarterly Journal of Economics 113, pp. 869–902.
Choi, W.G. (1999), “Asymmetric Effects on Interest Rates across Monetary Policy Stances,” Journal of Money, Credit, and Banking 31(3), pp. 386–416.
Cover, J.P. (1992), “Asymmetric Effects of Positive and Negative Money-Supply Shocks,” Quarterly Journal of Economics 107(4), pp. 1261–1282.
De Bondt, G. (2000), Financial Structure and Monetary Transmission in Europe, Cheltenham: Edward Elgar.
De Nederlandsche Bank (1999), “The Dutch Economy in 1999–2001: A Forecast based on MORKMON,” Quarterly Bulletin, June, pp. 39–49
Edie, L.D. (1931), The Banks and Prosperity, New York: Harper & Row.
Ees, H. van, H. Garretsen, L. de Haan and E. Sterken (1998), “Investment and Debt Constraints: Evidence from Dutch Panel Data,” in S. Brakman, H. van Ees and S.K. Kuipers (eds.), Market Behaviour and Macroeconomic Modelling, London: MacMillan, pp. 159–179.
Ees, H. van, H. Garretsen and E. Sterken (1999), “Some Evidence on the Relevance of Bank Behaviour for the Lending Channel in the Netherlands,” De Economist 147(1), pp. 19–37.
Fase, M.M.G. (1990), “Over bankkrediet en rentegevoeligheid,” in M.M.G. Fase (ed.), Aspecten van financiële intermediatie, NIBE, Amsterdam.
Fase, M.M.G. (1995), “The Demand for Commercial Bank Loans and the Lending Rate,” European Economic Review 39(1), pp. 99–115.
Fazzari, S.M., R.G. Hubbard and B.C. Petersen (1988), “Financing Constraints and Corporate Investment,” Brookings Papers on Economic Activity 0(1), pp. 141–195.
Garcia, R. and H. Schaller (1995), “Are the Effects of Monetary Policy Asymmetric?,” Paper presented at the EEA Congress, Prague.
Garretsen, H. and J. Swank (1998a), “The Transmission of Interest Rate Changes and the Role of Bank Balance Sheets: A VAR Analysis for the Netherlands,” Journal of Macroeconomics 20(2), pp. 325–339.
Garretsen, H. and J. Swank (1998b), “The Bank Lending Channel in the Netherlands: The Impact of Monetary Policy on Households and Firms,” mimeo, University of Nijmegen
Gertler, M. and S. Gilchrist (1994), “Monetary Policy, Business Cycles, and the Behavior of Small Manufacturing Firms,” Quarterly Journal of Economics 109(2), pp, 309–340.
Hansen, B.E. (1996), “Inference when a Nuisance Parameter is Not Identified under the Null Hypothesis,” Econometrica 64(2), pp. 413–430.
Hansen, B.E. (1997), “Inference in TAR models,” Studies in Nonlinear Dynamics and Econometrics 2(1), pp. 1–14.
Hansen, B.E. (1999a), “Testing for Linearity,” Journal of Economic Surveys 13(5), pp. 551–576.
Hansen, B.E. (1999b), “Threshold Effects in Non-Dynamic Panels: Estimation, Testing and Inference,” Journal of Econometrics 93(2), pp. 345–368.
Hansen, B.E. (2000), “Sample Splitting and Threshold Estimation,” Econometrica 68(3), pp. 575–603.
Kakes, J. (2000), Monetary Transmission in Europe: The Role of Financial Markets and Credit, Cheltenham: Edward Elgar.
Karras, G. (1996a), “Are the Output Effects of Monetary Policy Asymmetric? Evidence from a Sample of European Countries,” Oxford Bulletin of Economics and Statistics 58(2), pp. 267–278.
Karras, G. (1996b), “Why Are the Effects of Money-Supply Shocks Asymmetric? Convex Aggregate Supply or ‘Pushing on a String’?,” Journal of Macroeconomics 18(4), pp. 605–619.
Kashyap, A.K., O.A. Lamont and J.C. Stein (1994), “Credit Conditions and the Cyclical Behavior of Inventories,” Quarterly Journal of Economics 109(3), pp. 565–592.
Kashyap, A.K. and J.C. Stein (2000), “What do a Million Observations on Banks Say about the Transmission of Monetary Policy?,” The American Economic Review 90(3), pp. 407–428.
Keynes, J.M. (1936), The General Theory of Employment, Interest and Money, London: MacMillan.
Krugman, P. (1998), “It’s Baaack! Japan’s Slump and the Return of the Liquidity Trap,” Brookings Papers on Economic Activity 0(2), pp. 137–187.
Kuipers, S.K. and E. Sterken (1995), “On the Scope for Dutch Monetary Policy,” Banca Nazionale del Lavorno Quarterly Review 48(193), pp. 173–187
Okun, A.M. (1981), Prices and Quantities, Oxford: Basil Blackwell.
Shen, C.H. and T.C.-N. Chiang (1999), “Retrieving the Vanishing Liquidity Effect: A Threshold Vector Autoregressive Model,” Journal of Economics and Business 51(3), pp. 259–277.
Swank, J. (1994), “An Interview Survey of Bank Behaviour in the Netherlands,” Banca Nazionale del Lavoro Quarterly Review 47(189), pp. 199–235.
Teräsvirta, T. (1994), “Specification, Estimation, and Evaluation of Smooth Transition Autoregressive Models,” Journal of the American Statistical Association 89(425), pp. 208–218.
Teräsvirta, T. (1998), “Modelling Economic Relationships with Smooth Transition Regressions,” in A. Ullah and D.G.A. Giles (eds.), Handbook of Applied Economic Statistics, New York/Basel/Hong Kong: Marcel Dekker Inc., pp. 507–552.
Thoma, M.A. (1994), “Subsample Instability and Asymmetries in Money-Income Causality,” Journal of Econometrics 64(1/2), pp. 279–306.
Tsay, R.S. (1998), “Testing and Modeling Multivariate Threshold Models,” Journal of the American Statistical Association 93(443), pp. 1188–1202.
Walsh, C.E. (1998), Monetary Theory and Policy, Cambridge: MIT Press.
Weise, C.L. (1999), “The Asymmetric Effects of Monetary Policy: A Nonlinear Vector Autoregression Approach,” Journal of Money, Credit, and Banking 31(1), pp. 85–108.
Whited, T.M. (1992), “Debt, Liquidity Constraints and Corporate Investment: Evidence from Panel Data,” Journal of Finance 47(4), pp. 1425–1460.
Author information
Authors and Affiliations
Editor information
Editors and Affiliations
Rights and permissions
Copyright information
© 2001 Springer Science+Business Media New York
About this chapter
Cite this chapter
Jacobs, J., Kakes, J. (2001). Credit Demand Asymmetry in the Netherlands 1983–1997. In: Kuper, G.H., Sterken, E., Wester, E. (eds) Coordination and Growth. Springer, Boston, MA. https://doi.org/10.1007/978-1-4615-1549-4_12
Download citation
DOI: https://doi.org/10.1007/978-1-4615-1549-4_12
Publisher Name: Springer, Boston, MA
Print ISBN: 978-1-4613-5609-7
Online ISBN: 978-1-4615-1549-4
eBook Packages: Springer Book Archive