The full text of this article
The implications of credit risk transfer for the credit channel
by Mari L. Robertson
International Journal of Monetary Economics and Finance (IJMEF), Vol. 6, No. 4, 2013
Abstract: Growth in new instruments designed to trade credit risk has significant implications for the conduct of monetary policy through banks. This paper considers the effects of three credit risk transfer instruments - securitised assets, secondary market syndicated loans, and credit derivatives - on the credit channel of the transmission mechanism. With alternative funding opportunities, a new theoretical framework focuses on the ability of monetary policy to impact the financial condition of banks as borrowers in credit markets. Evidence of the credit channel is tested for in a factor-augmented vector autoregression (FAVAR) model. The results show no support for the existence of a traditional bank lending channel that functions through deposits and the supply of bank credit but demonstrate credit channel effects in higher bank funding costs, which are passed on to bank business loan and nonbank commercial mortgage borrowers. The results suggest that credit risk transfer has transformed some credit markets so that monetary policy remains effective through the cost of credit.
Online publication date: Fri, 21-Mar-2014
is only available to individual subscribers or to users at subscribing institutions.
Go to Inderscience Online Journals to access the Full Text of this article.
Pay per view:
If you are not a subscriber and you just want to read the full contents of this article, buy online access here.
Complimentary Subscribers, Editors or Members of the Editorial Board of the International Journal of Monetary Economics and Finance (IJMEF):
Login with your Inderscience username and password:
Want to subscribe?
A subscription gives you complete access to all articles in the current issue, as well as to all articles in the previous three years (where applicable).
See our Orders page to subscribe.
If you still need assistance, please email firstname.lastname@example.org