We study the evolution of bank deposits in response to monetary policy shocks. The objective is to assess whether a significant deposit channel, i.e. an outflow of deposits when monetary conditions tighten (Drechsler et al. 2017), emerges at the macro level. The analysis relies on the estimation of a large Bayesian structural VAR for the United States, monetary policy shocks are identified with Arias et al. (2019)’s method. We find some elements of the deposit channel, but our results suggest that its relevance for the transmission of monetary policy at the macro level is limited.
A macroeconomic view on banks' deposits after monetary interventions
Gianluca Cafiso
Co-primo
;
2024-01-01
Abstract
We study the evolution of bank deposits in response to monetary policy shocks. The objective is to assess whether a significant deposit channel, i.e. an outflow of deposits when monetary conditions tighten (Drechsler et al. 2017), emerges at the macro level. The analysis relies on the estimation of a large Bayesian structural VAR for the United States, monetary policy shocks are identified with Arias et al. (2019)’s method. We find some elements of the deposit channel, but our results suggest that its relevance for the transmission of monetary policy at the macro level is limited.File in questo prodotto:
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