神戸大学金融研究会（兼松セミナー共催） Monetary Economics Seminar of Kobe University (Jointly supported by Kanematsu Seminar)
| 日時 (Date&Time) |
2015年12月19日（土）午後2時00分から (Saturday, December 19, 2015, 2:00pm-) |
|---|---|
| 会場 (Place) |
神戸大学経済経営研究所 調査室（兼松記念館1階） Seminar Room at RIEB (Kanematsu Memorial Hall, 1st Floor) |
| 対象 (Intended Audience) |
基本的に会員制の研究会ですが、非会員で関心のある方の参加も歓迎します。 The seminar is primarily for the workshop members. But non-members are also welcome to attend. |
| 備考 (Note) |
論文のコピーは共同研究推進室にてご用意いたします。 Copies of the paper will be available at the Office of Promoting Research Collaboration. セミナーへ参加を希望される方はお手数ですが、ご氏名、ご所属、ご連絡先（メールアドレス）を開催日の前日までに共同研究推進室へご連絡下さい。 If you would like to attend this seminar, please email us at Office of Promoting Research Collaboration your name, affiliation, email address by a day before the workshop. |
2:00pm～3:30pm
| 報告者 (Speaker) |
細野 薫 氏 (Kaoru HOSONO) |
|---|---|
| 所属 (Affiliation) |
学習院大学経済学部 (Faculty of Economics, Gakushuin University) |
| 論題 (Topic) |
Business Cycles, Monetary Policy, and Bank Lending: Identifying the bank balance sheet channel with firm-bank match-level loan data |
| 概要 (Abstract) |
This paper examines the impact of business cycles and monetary policy on bank loan supply. To this end, we use a unique firm-bank match-level dataset covering listed firms in Japan that allows us to control for firms' time-varying unobservable loan demand and endogenous bank-firm matching, so that we can identify the effects of business cycles and monetary policy on loan supply through the bank balance sheet channel. The estimation results indicate that banks with more liquidity or capital tend to lend more to their client firms. The quantitative impact of bank liquidity and capital on loan supply was economically sizable and larger when economic growth was lower. Furthermore, the quantitative impact of bank liquidity on the growth rate of loans more than doubled when quantitative easing was terminated. Overall, these results imply that changes in economic growth and monetary policy significantly affected loan supply through the bank balance sheet channel. We also find evidence that fluctuations in economic growth and monetary policy are transmitted to capital investment through the bank balance sheet channel in the case of firms with high investment opportunities. |
3:45pm～5:15pm
| 報告者 (Speaker) |
柴本 昌彦 氏 (Masahiko SHIBAMOTO) |
|---|---|
| 所属 (Affiliation) |
神戸大学経済経営研究所 (RIEB, Kobe University) |
| 論題 (Topic) |
Empirical Assessment of the Impact of Monetary Policy Communication on Financial Market |
| 概要 (Abstract) |
This paper proposes the empirical framework to assess the effect of monetary policy communication, and applies it using Japanese data. It derives identification restrictions to estimate the impacts of monetary policy news that relates to the policy decisions and communication motivated by the institutional feature that a central bank announces and explains policy decisions and their background at two different points in time during every policy meeting day. Using Japanese high-frequency data, it tests the validity of these restrictions to examine whether these impacts are adequately captured by a single monetary policy surprise factor or two factors which have a structural interpretation as a `policy decision' and a `communication' factors. Main finding is that two factors are required to explain the intraday movements in asset prices during the policy meeting day. Also, using Japanese text in the press conference, we find that, while the identified policy decision factors are related with the details of the actual policy actions and the central bank's economic outlook related to the policy objectives, the communication factors are characterized by its policy intentions and its preferences. |