2017年-BIS国际清算银行_External_financing_and_economic_activity_in_the_euro_area_-_why_are_bank_loans_special_30页_3mb

Summary of BIS Working Paper No. 622: External financing and economic activity in the euro area – why are bank loans special?

Core Content

This BIS Working Paper investigates the impact of external financing shocks on economic activity and prices in the euro area, with a focus on the special role of bank loans. The authors use a Bayesian vector autoregression (BVAR) model with sign and zero restrictions to identify different types of financing and macroeconomic shocks.

Main Points

1. Shift in Financing Structure

• The composition of external financing flows to the non-financial private sector in the euro area has shifted significantly in recent years.
• Bank loans accounted for nearly 55% of total financing flows during the peak of the 2000s credit boom.
• In the aftermath of the global financial crisis, bank loan flows declined, while other financing sources (such as equity and debt securities) increased, acting as a "spare tire" for the reduction in bank loans.
• However, the negative impact of bank loan supply shocks on real GDP and the GDP deflator remains significant, suggesting that the substitution of bank loans with other sources may not fully offset the adverse effects.

2. Empirical Strategy and Model

• The authors expand the traditional monetary policy VAR to include flows of bank loans and alternative financing sources, as well as the interest rate on bank loans.
• The model includes six structural shocks: three financing shocks (bank loan supply, other financing supply, and financing demand), and three macroeconomic shocks (monetary policy, aggregate demand, and aggregate supply).
• The BVAR model is estimated using Bayesian methods, with a lag order of 2, though results are robust for up to five lags.
• The identification of shocks is based on sign and zero restrictions, ensuring that the model captures the economic implications of each shock.

3. Key Findings

• Bank loan supply shocks have a strong and persistent negative impact on real GDP and the GDP deflator, even when other financing sources increase.
• Other financing supply shocks do not have a significant impact on economic activity or prices.
• Financing demand shocks lead to a negative and relatively persistent effect on interest rates and a gradual decline in output.
• Monetary policy shocks have a negative impact on output and prices, with the interest rate on bank loans increasing.
• Aggregate demand shocks decrease output and prices, while aggregate supply shocks have the opposite effect, increasing prices and decreasing output.

4. Implications of the Findings

• The results support the view that bank loans are a special source of financing because they increase the nominal purchasing power of the economy through credit creation.
• Other financing sources merely reallocate existing purchasing power, not creating new it.
• The findings suggest that substituting bank loans with other sources may not be sufficient to sustain economic activity, as the loss in nominal purchasing power could still have adverse effects.
• The authors conclude that European policy efforts to enhance access to non-bank financing may have limited effectiveness in stimulating the economy.

Key Information

• JEL Classification: E30, E40, E50, G20, G30
• Keywords: bank loans, Bayesian VAR, credit creation, ECB, euro area, external financing, financing structure
• Data Sources: ECB Statistical Data Warehouse and own calculations
• Methodology: Bayesian VAR with sign and zero restrictions
• Sample Period: Q1 2000 to Q4 2015
• Policy Implications:
  • Persistent negative bank loan flows could undermine economic performance and price stability.
  • Efforts to increase non-bank financing may not be as effective as expected in supporting economic activity.

Conclusion

The paper highlights the unique role of bank loans in the euro area's external financing structure and their significant impact on macroeconomic outcomes. While other financing sources can act as a substitute, the findings suggest that they do not fully replicate the role of bank loans in supporting economic activity and price stability. The results reinforce the importance of considering the nominal purchasing power created by bank lending in macroeconomic models and policy analysis.