ECIN Replication Package for "International Evidence on the Cost Channel of Monetary Policy"

This
paper provides aggregate-level evidence from a set of 31 advanced and emerging
economies that supports the existence of supply-side effects for monetary
policy, i.e., the cost channel. Our methodology employs sign restrictions and
historical decompositions to first separate inflation and loan rates into their
demand-driven and supply-driven components. These supply-driven components (here
called the supply inflation and supply loan rate, respectively) are then used
to test for the cost channel. Analytically, a monetary policy tightening, by
reducing banks’ loan supply, increases the supply loan rate and raises the
borrowing costs faced by firms. Such an adjustment in loan rates also produces
a contraction in the aggregate supply that ultimately raises supply inflation.
Our estimates show that a monetary tightening increases supply inflation in all
countries, but more significantly in emerging economies. Larger supply
inflation occurs due to the greater responses of supply loan rates to policy
rates and of supply inflation to supply loan rates. According to our stylized
New Keynesian model, both reactions are potentially related to the higher
pass-through of banks’ and firms’ costs to rates and prices, respectively.
Finally, we find out that, on average, the size of the cost channel in emerging
economies outweighs the downward inflationary pressures expected from the
aggregate demand contraction. Our interpretation is that rising inflation
expectations are responsible for this result.

本文基于31个发达经济体与新兴经济体组成的样本，提供了支持货币政策存在供给侧效应（即成本渠道）的总量层面实证证据。我们的研究方法采用符号约束法与历史分解法，首先将通货膨胀与贷款利率拆解为需求驱动成分与供给驱动成分；上述供给驱动成分（后文分别称为供给型通货膨胀与供给型贷款利率）随后被用于检验成本渠道的存在性。从理论逻辑来看，货币政策紧缩会通过抑制银行信贷供给推高供给型贷款利率，抬升企业面临的借贷成本；贷款利率的此类调整还会引发总供给收缩，最终推高供给型通货膨胀。我们的估计结果显示，货币政策紧缩在所有样本国家均会推高供给型通货膨胀，且该效应在新兴经济体中更为显著。供给型通货膨胀的增幅更大，源于供给型贷款利率对政策利率的响应弹性更高，且供给型通货膨胀对供给型贷款利率的响应弹性同样更高。根据我们构建的标准化新凯恩斯模型，这两类反应分别与银行成本向贷款利率、企业成本向产品价格的更高传导率存在潜在关联。最终我们发现，平均而言新兴经济体的成本渠道强度超过了总需求收缩所带来的下行通胀压力，我们对此的解释是，通胀预期上升是该结果的成因。