International transmission of monetary policy shocks and the bank lending channel: Evidence from Australia
利用澳大利亚外资银行监管数据，研究发现国际货币政策冲击通过银行贷款渠道影响信贷供给，其中亚洲银行弹性最大，家庭和企业贷款最易受影响，非常规政策效果弱于传统政策。
We examine the transmission of international monetary policy shocks via the bank lending channel. Exploiting a panel of regulatory data on foreign banks operating in Australia, we show that the supply of credit is vulnerable to the international pass-through of monetary policy, with banks headquartered in Asia demonstrating high elasticity. Household and non-financial corporate loans are the most susceptible channels to policy shocks, while higher-margin lending, non-lending assets, and reservable liabilities are insensitive. We demonstrate that although banks curtail lending in the face of tighter monetary policy, they increase their non-reservable borrowing, suggesting an increased reliance on capital markets. Finally, we show that unconventional monetary policies have a muted effect compared to traditional measures. • We study the transmission of monetary policy shocks via the bank lending channel. • We exploit Australian regulatory bank data to test for the presence of the BLC. • Household and corporate loans are found to be the most susceptible channels. • Asian banks demonstrate the highest degree of lending elasticity. • Unconventional policies have a muted effect compared to traditional measures.