DOCUMENT DE TRAVAIL N° 291

BANKS' FINANCIAL CONDITIONS AND THE TRANSMISSION OF MONETARY POLICY: A FAVAR APPROACH

R. Jimborean, J-S. Mésonnier

September 2010

DIRECTION GÉNÉRALE DES ÉTUDES ET DES RELATIONS INTERNATIONALES

DIRECTION GÉNÉRALE DES ÉTUDES ET DES RELATIONS INTERNATIONALES

BANKS' FINANCIAL CONDITIONS AND THE TRANSMISSION OF MONETARY POLICY: A FAVAR APPROACH

R. Jimborean, J-S. Mésonnier

September 2010

Les Documents de travail reflètent les idées personnelles de leurs auteurs et n'expriment pas nécessairement la position de la Banque de France. Ce document est disponible sur le site internet de la Banque de France « www.banque-france.fr ».

Working Papers reflect the opinions of the authors and do not necessarily express the views of the Banque de France. This document is available on the Banque de France Website “www.banque-france.fr”.

Banks’ financial conditions and the transmission of monetary policy: a FAVAR approach∗
Ramona Jimborean† and Jean-St´phane M´sonnier‡ e e September 2010

We would like to thank Karim Barhoumi, Florin Bilbiie, Stefano Neri, Tao Zha and an anonymous referee, as well as participants at the Second IJCB Financial Stability Conference on the Theory and practice of macroprudential supervision hosted by the Banco de Espana (Madrid), the 2010 CEA Conference (Quebec), the 2010 Transmission Channel workshop of the Basel Committee Research Task Force (Paris) and seminars at the Banque de France and the ECB, for valuable comments and suggestions. We are also grateful to Benoˆ Mojon and Dalibor Stevanovic for sharing their codes with us. Jocelyne Tanguy ıt provided excellent research assistance. Last but not least, we thank our colleagues from the French Supervisory Authority for granting us an access to the BAFI database and, in particular, St´phane Chouard e who coded the requested extraction routines. The views expressed in this paper are those of the authors and do not necessarily reflect those of the