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Monetary Policy and Balance Sheets
Deniz Igan, Alain Kabundi, Francisco Nadal
De Simone and Natalia Tamirisa
ERSA working paper 364
August 2013
Economic Research Southern Africa (ERSA) is a research programme funded by the National
Treasury of South Africa.
The views expressed are those of the author(s) and do not necessarily represent those of the funder, ERSA or the author’s affiliated
institution(s). ERSA shall not be liable to any person for inaccurate information or opinions contained herein.
MonetaryPolicyandBalanceSheets
∗ † ‡ ¶§
DenizIgan, AlainKabundi, FranciscoNadalDeSimone andNataliaTamirisa
August13,201
Abstract
Thispaperevaluatesthestrengthofthebalancesheetchannelinthe
U.S.monetarypolicytransmissionmechanismoverthepastthreedecades.
UsingaFactor-AugmentedVectorAutoregressionmodelonan expanded
data set, including sectoral balance sheet variables, we show that the
balance sheets of various economic agents act as important links in the
monetarypolicytransmissionmechanism. Balancesheetsof financialin-
termediaries,suchascommercialbanks,asset-backed-securityissuersand,
toalesserextent,securitybrokersanddealers,shrinkinresponsetomon-
etarytightening,whilemoneymarketfundassetsgrow. Thebalancesheet
effectsarecomparableinmagnitudetothetraditionalinterestratechan-
nel. However, their economic significance in the run-up to the recent fi-
nancialcrisiswassmall. Largeincreasesininterestrates wouldhavebeen
needed toavertarapid riseof housepricesand anunsustainableexpan-
sionofmortgagecredit,suggestingani
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