Response of Bank Loans to the Bank of Japan’s Quantitative and Qualitative Easing Policy: A Panel Data Analysis

• 발행기관: 서울대학교 경제연구소
• 저자명: Etsuro Shioji
• 간행물 정보: 『Seoul Journal of Economics』Seoul Journal of Economics Volume 33 No.3, 355~394쪽, 전체 40쪽
• 주제분류: 경제경영 > 경제학
• 파일형태: PDF
• 발행일자: 2020.08.30

영문 초록

In recent years, many central banks around the world have conducted quantitative easing, namely a massive expansion of their balance sheets. This paper studies commercial banks’ lending behaviors under such a policy regime, using the Japanese data. Since April 2013, the Bank of Japan has executed quantitative easing of an extraordinary magnitude. This is known as the “Quantitative and Qualitative Monetary Easing (QQE)”. During this period, the overall size of bank reserves outstanding has become eight times larger in just six years. Yet aggregate data indicates that bank lending and money stock hardly responded. This seems to indicate that the traditional money creation process has totally collapsed. But is the money multiplier really completely “dead”? This paper utilizes a panel data on balance sheets of Japan’s regional banks to answer this question. The data is semiannual, consisting of observations from March and September between years 2013 and 2019. I study if a bank, which inherited a larger stock of reserves at the end of a period, would tend to expand its loans more aggressively in the subsequent period. It turns out to be important to divide the entire QQE period into two. During the first half of our sample period, between March 2013 and September 2015, I find no significant response of bank lending to an increased bank reserves. In the second half, between March 2016 and September 2019, a significantly positive response is observed. However, even for the latter period, the coefficients on bank reserves and government bonds turn out to be about the same: this suggests that injection of bank reserves by the central bank through purchases of government bonds, which has been the most dominant form of central bank transactions under the QQE, has not been effective.

목차

I. Introduction

II. Background: Japanese Monetary Policy before and during the 2010s

III. Related Work: Evidence on the QE’s Effects on Bank Lending

IV. Data Set

V. Overview of the Data

VI. Empirical Specification

VII. Results I: System GMM

VIII. Results II: Mean Group Estimator

IX. Results III: Additional Studies and Robustness Checks

X. Conclusions

References

키워드

Unconventional monetary policy Quantitative easing Money multiplier Panel data Japanese economy