The Bank Lending Channel: A FAVAR Analysis
用因子增强向量自回归模型研究货币政策传导的银行贷款渠道，发现该渠道比以往认为的更普遍，但个体银行信贷反应更多受特定冲击而非货币政策影响。
We examine the bank lending channel (BLC) of monetary transmission in a factor‐augmented vector autoregression (FAVAR). A FAVAR exploits large numbers of macro‐economic indicators and allows us to consider an alternative identification of monetary shocks and analyze the lending response of banks at the aggregate and individual levels. We find that the existence of the BLC is more prevalent than previously thought using aggregated lending data, while the lending response of individual banks are driven more by specific innovations than monetary shocks. Nonetheless, the average individual bank response to a monetary shock is consistent with the existence of a BLC.