How do changes in monetary policy affect bank lending? An analysis of Austrian bank data
利用奥地利银行面板数据，发现最小银行的贷款决策对利率变化更敏感，且所有银行的敏感性随时间变化。通过贝叶斯方法估计银行分组和状态指标，帮助理解不同银行和时期的贷款反应差异。
Abstract Using a panel of Austrian bank data we show that the lending decisions of the smallest banks are more sensitive to interest rate changes, and that for all banks, sensitivity changes over time. We propose to estimate the groups of banks that display similar lending reactions by means of a group indicator which, after estimation, indicates each bank's classification. Additionally, we estimate a state indicator that indicates the periods during which the lending reaction differs from what we normally observe. Bayesian methods are used for estimation; a sensitivity analysis and a forecast evaluation confirm our model choice. Copyright © 2006 John Wiley & Sons, Ltd.