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Assessing Leading Indicators for the EMU Area from a Practitioner's Perspective

Referierte Aufsätze Web of Science

Ulrich Fritsche, Vladimir Kuzin, Felix Marklein

In: Applied Economics Quarterly 49 (2003), 4, S. 339-358


In this paper, the empirical relevance of the credit channel for the explanation of monetary policy transmission in Germany during the period from 1985 to 1998 is analyzed. While existing studies of the credit channel rely mostly on the analysis of monetary policy effects on balance sheet items, both quantities and financing costs are considered here. Using vector autoregressive models, impulse response analysis and forecast error variance decompositions, strong empirical evidence for the effectiveness and relevance of a credit channel in Germany can be reported.

JEL-Classification: C32;E44;E52
Keywords: credit channel, interest rate channel, monetary policy transmission, vector autoregressive models