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WP/13/158
Monetary Policy and Balance Sheets
Deniz Igan, Alain Kabundi, Francisco Nadal De Simone, and Natalia Tamirisa
© 2013 International Monetary Fund WP/
IMF Working Paper
Research Department
Monetary Policy and Balance Sheets
Prepared by Deniz Igan, Alain Kabundi, Francisco Nadal De Simone, Natalia Tamirisa†
Authorized for distribution by Stijn Claessens
Ju 2013
This Working Paper should not be reported as representing the views of the IMF.
The views expressed in this Working Paper are those of the author(s) and do not necessarily
represent those of the IMF or IMF policy. Working Papers describe research in progress by
the author(s) and are published to elicit comments and to further debate.
Abstract
This paper evaluates the strength of the balance sheet channel in the U.S. monetary policy
transmission mechanism over the past three decades. Using a Factor-Augmented Vector
Autoregression model on an expanded data set, including sectoral balance sheet variables,
we show that the balance sheets of various economic agents act as important links in the
monetary policy transmission mechanism. Balance sheets of financial intermediaries, such
as commercial banks, asset-backed-security issuers and, to a lesser extent, security brokers
and dealers, shrink in response to monetary tightening, while money market fund assets
grow. The balance sheet effects are comparable in magnitude to the traditional interest rate
channel. However, their economic significance in the run-up to the recent financial crisis
was small. Large increases in interest rates would have been needed to avert a rapid rise of
house prices and an unsustainable expansio
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