Investigating the Credit Supply-versus-Demand Puzzle in a Small Open Economy
2007/05/08
研討會日期 : 2007-05-08
時間 : 15:00
主講人 : Prof. Jui-Chuan Chang
地點 : B棟110室
演講者簡介 : Prof. Jui-Chuan Chang為美國德州農工大學經濟學博士(2003)。
現為暨南國際大學經濟系助理教授。
其主要研究領域為貨幣理論、財務經濟、時間序列分析。
演講摘要 : Since 1992 oil price and real estate price shocks lead to the 'credit crunch' in the United States and other countries, a large body of literature has put much attention to the credit channel of monetary transmission. Comparing to the traditional interest rate channel, the credit channel emphasizes the role of the financial market imperfections and informational asymmetries between borrowers and lenders in the monetary transmission mechanism (Bernanke and Gertler, 1995). Over the last decade, the studies has the common difficulty in identifying the lending channel at aggregate data by distinguishing shifts in loan supply from shifts in loan demand, referred to as the supply-versus-demand puzzle by Bernanke (1993), and much focus on the closed or large open economy such as US.
This paper attempts to investigate the credit supply-versus-demand puzzle in a small open economy. We develop a general equilibrium model of a small open economy, incorporating bank lending channel. Deviating from Bernanke and Blinder’s (1988) framework, we derive the long-run equilibrium relationships underlying the theory so as to form our testable hypotheses. Empirically, we use Canadian quarterly data over the period from 1970:Q1 to 2006:Q2 and adopt Johansen and Juselius (1994) multivariate cointegration method to identify the lending channel. Our findings suggest that bank lending channel plays a role in the Canadian economy and that change in Canadian financial structure matters for change in its transmission of monetary policy. This research contributes to fill up the gaps among the relevant literature on the bank lending channel of monetary transmission in a small open economy, and may serve as the guidance for policymakers to observe the effectiveness of monetary policy.
