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The effect of banking sector’s business conditions on the transmission mechanism of monetary policy

Title
The effect of banking sector’s business conditions on the transmission mechanism of monetary policy
Authors
Yun J.Ryoo H.T.Chung J.M.
Ewha Authors
윤재호
SCOPUS Author ID
윤재호scopus
Issue Date
2016
Journal Title
Journal of Economic Theory and Econometrics
ISSN
1229-2893JCR Link
Citation
vol. 27, no. 3, pp. 112 - 143
Keywords
Banks’ financial ratioFAVARTransmission mechanism of monetary policy
Publisher
Korean Econometric Society
Indexed
SCOPUS scopus
Abstract
In this paper, we estimate a dynamic factor model for Korean macro economy and banking sector’s business conditions by using the FAVAR (Factor augmented vector autoregressive) model, and analyze impulse responses of various variables such as macro aggregates and banks’ financial ratios.Our empirical analysis shows that the macro economy tends to affect the banking sector unilaterally over time. Next, in our counter-factual analysis where we artificially remove the effect of banking sector on the macro economy in the FAVAR model, we find that there is no substantial effect of banking sector’s business conditions on the transmission mechanism of monetary policy. © 2016, Korean Econometric Society. All rights reserved.
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사회과학대학 > 경제학전공 > Journal papers
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