Table A1: L-max statistics for the test of cointegration rank
Total bank loans Bank loans small banks Bank loans large banks
a r=0 36.24 35.93 31.36 b r=1 17.90 29.60 18.33 c r=2 12.53 17.99 13.72 d r=3 5.49 10.77 6.65 90% critical values: a 19.88 b 16.13 c 12.39 d 10.56
Table A2: Test for 3 cointegrating vectors: Bundesbank reaction function, trend-
stationary real interest rates, bank lending cointegrates with interest rates and trend
Total bank loans Bank loans small banks Bank loans large banks ) 3 ( 2 χ 7.66 5.95 2.91 p-val. 0.11 0.20 0.57
Table A3: L-max statistics for the test of cointegration rank,
(a) interbank variables calculated with methodology (1)
Interbank market External Internal Abroad small med. large small med. large small med. large small med. large
a r=0 38.74 43.01 39.28 39.45 39.02 39.28 37.97 42.09 42.09 35.50 34.08 37.52 b r =1 27.33 30.28 24.97 22.61 27.92 24.97 31.32 31.03 31.03 26.55 27.41 25.82 c r=2 23.84 20.86 20.46 17.44 20.6 20.46 25.18 20.16 20.16 16.61 19.76 18.78 d r=3 10.50 12.84 15.15 12.44 18.55 15.15 11.31 11.53 11.53 13.42 17.07 14.60 e r=4 8.03 6.13 7.68 7.05 8.70 7.68 8.18 7.86 7.86 6.46 5.13 6.74 90% critical values: a 23.72 b 19.88 c 16.13 d 12.39 e 10.56
(b) interbank variables calculated with methodology (1), defined as ratios
Interbank market External Internal Abroad small med. large small med. large small med. large small med. large
a r=0 42.11 44.48 41.64 43.31 43.49 42.07 39.87 49.93 49.93 39.72 39.07 40.15 b r =1 29.38 26.93 32.11 22.10 25.39 31.25 33.96 29.50 29.50 26.27 29.67 33.54 c r=2 24.74 22.45 22.84 17.74 20.34 22.47 25.34 21.11 21.11 18.48 17.70 19.87 d r=3 10.65 11.95 15.75 12.62 14.38 15.74 10.32 10.35 10.35 12.47 17.26 15.75 e r=4 7.20 6.77 9.92 8.51 8.72 9.80 6.88 9.38 9.38 8.10 6.17 9.64 90% critical values: a 23.72 b 19.88 c 16.13 d 12.39 e 10.56
(c) interbank variables calculated with methodology (2)
Interbank market External Internal Abroad small med. large small med. large small med. large small med. large
a r=0 42.11 44.48 41.64 43.31 43.49 42.07 39.78 49.93 49.93 39.72 39.07 40.15 b r =1 29.38 26.93 32.11 22.10 25.39 31.25 33.96 29.50 29.50 26.27 29.67 33.54 c r=2 24.74 22.45 22.84 17.74 20.34 22.47 25.34 21.11 21.11 18.48 17.70 19.87 d r=3 10.65 11.95 15.75 12.62 14.38 15.74 10.32 10.35 10.35 12.47 17.26 15.75 e r=4 7.20 6.77 9.92 8.51 8.72 9.80 6.88 9.38 9.38 8.10 6.17 9.64 90% critical values: a 23.72 b 19.88 c 16.13 d 12.39 e 10.56
Table A4: Test for four cointegrating vectors: Bundesbank reaction function, trend-stationary real interest rates, interbank lending variables coin- tegrate with interest rates and trend
(a) interbank variables calculated with methodology (1)
Interbank market External Internal Abroad small med. large small med. large small med. large small med. large ) 4 ( 2 χ 3.67 3.10 2.21 4.27 2.40 2.21 4.34 1.51 1.51 2.09 1.43 3.03 p-val. 0.45 0.54 0.70 0.37 0.66 0.70 0.36 0.82 0.82 0.72 0.84 0.55
(b) interbank variables calculated with methodology (1), defined as ratios
Interbank market External Internal Abroad small med. large small med. large small med. large small med. large ) 4 ( 2 χ 4.92 4.60 1.79 4.09 3.43 1.69 5.08 2.02 2.02 2.25 1.89 2.31 p-val. 0.30 0.33 0.77 0.39 0.49 0.79 0.28 0.73 0.73 0.69 0.76 0.68
(c) interbank variables calculated with methodology (2)
Interbank market External Internal Abroad small med. large small med. large small med. large small med. large ) 4 ( 2 χ 5.81 1.91 2.99 1.74 1.11 3.00 3.84 1.67 1.67 1.27 2.17 1.98 p-val. 0.21 0.75 0.56 0.78 0.89 0.56 0.43 0.80 0.80 0.87 0.70 0.74
Table A5: The maintained cointegrating vector concerning the interbank lend- ing variable
(a) interbank variables calculated with methodology (1)
Interbank market External Internal Abroad small med. large small med. large small med. large small med. large
0.84 2.46 -0.60 0.21 1.12 0.82 0.71 1.12 -1.48 0.04 0.66 1.64 t r (0.06) (0.15) (0.35) (0.04) (0.05) (0.42) (0.05) (0.13) (0.14) (0.02) (0.05) (0.43) -0.02 -0.02 -0.22 -0.01 0.01 -0.28 -0.01 -0.04 0.06 -0.01 0.01 -0.30 t (0.00) (0.01) (0.03) (0.00) (0.00) (0.04) (0.01) (0.01) (0.01) (0.00) (0.01) (0.04)
(b) interbank variables calculated with methodology (1), defined as ratios
Interbank market External Internal Abroad small med. large small med. large small med. large small med. large
2.07 3.60 -0.29 0.31 1.20 0.26 1.76 1.26 -0.46 0.07 0.64 0.45 t r (0.15) (0.25) (0.06) (0.05) (0.05) (0.08) (0.13) (0.12) (0.03) (0.02) (0.05) (0.08) 0.01 -0.08 -0.07 -0.01 0.05 -0.06 0.02 0.00 -0.01 -0.02 0.02 -0.04 t (0.01) (0.02) (0.01) (0.00) (0.01) (0.01) (0.01) (0.01) (0.00) (0.00) (0.01) (0.01)
(c) interbank variables calculated with methodology (2)
Interbank market External Internal Abroad small med. large small med. large small med. large small med. large
1.13 2.02 -5.68 0.32 0.67 -4.05 0.65 1.28 -1.58 -0.02 -21.2 0.50 t r (0.08) (0.14) (0.43) (0.03) (0.04) (0.43) (0.05) (0.13) (0.14) (0.02) (3.78) (0.41) 0.01 -0.02 -0.38 0.00 -0.02 -0.43 0.00 -0.02 0.05 -0.01 -0.68 -0.33 t (0.01) (0.01) (0.04) (0.00) (0.00) (0.04) (0.00) (0.01) (0.01) (0.01) (0.35) (0.04)
A3: FIGURES
Figure A1: The net interbank positions of the various size groups calculated with methodology (1)
Interbank lending billion DM
Interbank Market - Small Banks
1992 1993 1994 1995 1996 1997 1998 -32
-16 0 16
32 Interbank Market - Medium Sized Banks
1992 1993 1994 1995 1996 1997 1998 -135
-90 -45 0
45 Interbank Market - Large Banks
1992 1993 1994 1995 1996 1997 1998 -60 0 60 120 180
External interbank market - Small Banks
1992 1993 1994 1995 1996 1997 1998 -24
-16 -8 0
External interbank market - Medium Sized Banks
1992 1993 1994 1995 1996 1997 1998 -80
-60 -40 -20
External interbank market - Large Banks
1992 1993 1994 1995 1996 1997 1998 -70 0 70 140 210
Internal interbank market - Small Banks
1992 1993 1994 1995 1996 1997 1998 -16
0 16 32
Internal interbank market - Medium Sized Banks
1992 1993 1994 1995 1996 1997 1998 -75 -50 -25 0 25
Internal interbank market - Large Banks
1992 1993 1994 1995 1996 1997 1998 -60
0 60 120
Abroad - Small Banks
1992 1993 1994 1995 1996 1997 1998 -10
-5 0
5 Abroad - Medium Sized Banks
1992 1993 1994 1995 1996 1997 1998 -18
-12 -6 0
6 Abroad - Large Banks
1992 1993 1994 1995 1996 1997 1998 -180 -90 0 90 180
Figure A2: The effects of a monetary policy shock on bank loans to the non- financial sector lending; bank variables calculated with methodol- ogy (1)
Effect of a Monetary Policy Shock Interest Rate 0 5 10 15 20 25 30 -0.05 0.00 0.05 0.10 0.15 Inflation 0 5 10 15 20 25 30 -0.6 0.0 0.6 1.2 Industrial Production 0 5 10 15 20 25 30 -0.50 -0.25 0.00 0.25 0.50
Total Bank Loans
0 5 10 15 20 25 30 -0.0032
-0.0016 0.0000 0.0016
Bank Loans - Small Banks
0 5 10 15 20 25 30 -0.003
0.000 0.003 0.006
Bank Loans - Large Banks
0 5 10 15 20 25 30 -0.0036 -0.0024 -0.0012 0.0000 0.0012
Figure A3: The effects of a monetary policy shock on interbank lending (by the various bank size groups, from different segments of the interbank market); interbank variables calculated with methodology (1)
Effect of a Monetary Policy Shock
Interbank variables calculated with methodology (1)
Interest Rate 0 5 10 15 20 25 30 -0.05 0.00 0.05 0.10 Inflation 0 5 10 15 20 25 30 -0.50 -0.25 0.00 0.25 0.50 Industrial Production 0 5 10 15 20 25 30 -0.32 -0.16 0.00 0.16 0.32
Interbank Market - Small Banks
0 5 10 15 20 25 30 -0.15
-0.10 -0.05 0.00
0.05 Interbank Market - Medium Sized Banks
0 5 10 15 20 25 30 -0.24
-0.16 -0.08 0.00
0.08 Interbank Market - Large Banks
0 5 10 15 20 25 30 -1.35 -0.90 -0.45 -0.00 0.45
External interbank market - Small Banks
0 5 10 15 20 25 30 -0.036
-0.018 0.000
0.018 External interbank market - Medium Sized Banks
0 5 10 15 20 25 30 -0.2
-0.1 0.0
0.1 External interbank market - Large Banks
0 5 10 15 20 25 30 -1.5 -1.0 -0.5 0.0 0.5
Internal interbank market - Small Banks
0 5 10 15 20 25 30 -0.135
-0.090 -0.045 -0.000
0.045 Internal interbank market - Medium Sized Banks
0 5 10 15 20 25 30 -0.24
-0.16 -0.08 0.00
0.08 Internal interbank market - Large Banks
0 5 10 15 20 25 30 -0.12 0.00 0.12 0.24 0.36
Abroad - Small Banks
0 5 10 15 20 25 30 -0.010 -0.005 0.000 0.005 0.010
Abroad - Medium Sized Banks
0 5 10 15 20 25 30 -0.15 -0.10 -0.05 0.00 0.05
Abroad - Large Banks
0 5 10 15 20 25 30 -1.4
-0.7 0.0 0.7
Figure A4: The effects of a monetary policy shock on interbank lending (by the various bank size groups, from different segments of the interbank market); interbank variables calculated with methodology (1), de- fined in ratios
Effect of a Monetary Policy Shock
Interbank variables calculated with methodology (1), defined in ratios
Interest Rate 0 5 10 15 20 25 30 -0.025 0.000 0.025 0.050 0.075 Inflation 0 5 10 15 20 25 30 -0.50 -0.25 0.00 0.25 0.50 Industrial Production 0 5 10 15 20 25 30 -0.32 -0.16 0.00 0.16 0.32
Interbank Market - Small Banks
0 5 10 15 20 25 30 -0.27
-0.18 -0.09 -0.00
0.09 Interbank Market - Medium Sized Banks
0 5 10 15 20 25 30 -0.32
-0.16 0.00
0.16 Interbank Market - Large Banks
0 5 10 15 20 25 30 -0.15 -0.10 -0.05 0.00 0.05
External interbank market - Small Banks
0 5 10 15 20 25 30 -0.036
-0.018 0.000 0.018
0.036 External interbank market - Medium Sized Banks
0 5 10 15 20 25 30 -0.12
-0.06 0.00
0.06 External interbank market - Large Banks
0 5 10 15 20 25 30 -0.2
-0.1 0.0 0.1
Internal interbank market - Small Banks
0 5 10 15 20 25 30 -0.2
-0.1 0.0
0.1 Internal interbank market - Medium Sized Banks
0 5 10 15 20 25 30 -0.24
-0.16 -0.08 0.00
0.08 Internal interbank market - Large Banks
0 5 10 15 20 25 30 -0.025 0.000 0.025 0.050 0.075
Abroad - Small Banks
0 5 10 15 20 25 30 -0.02 -0.01 0.00 0.01 0.02
Abroad - Medium Sized Banks
0 5 10 15 20 25 30 -0.08
-0.04 0.00 0.04
Abroad - Large Banks
0 5 10 15 20 25 30 -0.18 -0.12 -0.06 0.00 0.06
Figure A5: The effects of a monetary policy shock on interbank lending (by the various bank size groups, from different segments of the interbank market); interbank variables calculated with methodology (2)
Effect of a Monetary Policy Shock
Interbank variables calculated with methodology (2)
Interest Rate 0 5 10 15 20 25 30 -0.04 0.00 0.04 0.08 0.12 Inflation 0 5 10 15 20 25 30 -0.50 -0.25 0.00 0.25 0.50 Industrial Production 0 5 10 15 20 25 30 -0.32 -0.16 0.00 0.16 0.32
Interbank Market - Small Banks
0 5 10 15 20 25 30 -0.135
-0.090 -0.045 -0.000
0.045 Interbank Market - Medium Sized Banks
0 5 10 15 20 25 30 -0.27
-0.18 -0.09 -0.00
0.09 Interbank Market - Large Banks
0 5 10 15 20 25 30 -1.35 -0.90 -0.45 -0.00 0.45
External interbank market - Small Banks
0 5 10 15 20 25 30 -0.032
-0.016 0.000 0.016
0.032 External interbank market - Medium Sized Banks
0 5 10 15 20 25 30 -0.12
-0.08 -0.04 0.00
0.04 External interbank market - Large Banks
0 5 10 15 20 25 30 -1.6
-0.8 0.0 0.8
Internal interbank market - Small Banks
0 5 10 15 20 25 30 -0.135
-0.090 -0.045 -0.000
0.045 Internal interbank market - Medium Sized Banks
0 5 10 15 20 25 30 -0.24
-0.16 -0.08 0.00
0.08 Internal interbank market - Large Banks
0 5 10 15 20 25 30 -0.12 0.00 0.12 0.24 0.36
Abroad - Small Banks
0 5 10 15 20 25 30 -0.006
-0.003 0.000 0.003
0.006 Abroad - Medium Sized Banks
0 5 10 15 20 25 30 -0.12
-0.08 -0.04 0.00
0.04 Abroad - Large Banks
0 5 10 15 20 25 30 -1.05 -0.70 -0.35 0.00 0.35
Figure A6: The effects of a monetary policy shock on long-term interbank lend- ing (by the various bank size groups, from different segments of the interbank market); interbank variables calculated with methodology (1), defined in ratios
Effect of a Monetary Policy Shock long-term interbank variables
Interbank Market - Small Banks
0 5 10 15 20 25 30 -0.070
-0.035 0.000 0.035
0.070 Interbank Market - Medium Sized Banks
0 5 10 15 20 25 30 -0.090
-0.045 0.000
0.045 Interbank Market - Large Banks
0 5 10 15 20 25 30 -0.06
-0.03 0.00 0.03
External interbank market - Small Banks
0 5 10 15 20 25 30 -0.032
-0.016 0.000 0.016
External interbank market - Medium Sized Banks
0 5 10 15 20 25 30 -0.03
0.00 0.03 0.06
External interbank market - Large Banks
0 5 10 15 20 25 30 -0.04 -0.02 0.00 0.02 0.04
Internal interbank market - Small Banks
0 5 10 15 20 25 30 -0.035
0.000 0.035 0.070
Internal interbank market - Medium Sized Banks
0 5 10 15 20 25 30 -0.054 -0.036 -0.018 0.000 0.018
Internal interbank market - Large Banks
0 5 10 15 20 25 30 -0.02
-0.01 0.00 0.01
Abroad - Small Banks
0 5 10 15 20 25 30 -0.02
-0.01 0.00
0.01 Abroad - Medium Sized Banks
0 5 10 15 20 25 30 -0.036
-0.018 0.000 0.018
0.036 Abroad - Large Banks
0 5 10 15 20 25 30 -0.04 -0.02 0.00 0.02 0.04
Figure A7: The effects of a monetary policy shock on short-term interbank lending (by the various bank size groups, from different segments of the interbank market); interbank variables calculated with meth- odology (1), defined in ratios
Effect of a Monetary Policy Shock short-term interbank variables
Interbank Market - Small Banks
0 5 10 15 20 25 30 -0.18
-0.09 0.00
0.09 Interbank Market - Medium Sized Banks
0 5 10 15 20 25 30 -0.27
-0.18 -0.09 -0.00
0.09 Interbank Market - Large Banks
0 5 10 15 20 25 30 -0.12
-0.06 0.00 0.06
External interbank market - Small Banks
0 5 10 15 20 25 30 -0.032
-0.016 0.000 0.016
External interbank market - Medium Sized Banks
0 5 10 15 20 25 30 -0.10
-0.05 0.00 0.05
External interbank market - Large Banks
0 5 10 15 20 25 30 -0.16
-0.08 0.00 0.08
Internal interbank market - Small Banks
0 5 10 15 20 25 30 -0.18
-0.09 0.00 0.09
Internal interbank market - Medium Sized Banks
0 5 10 15 20 25 30 -0.18 -0.12 -0.06 0.00 0.06
Internal interbank market - Large Banks
0 5 10 15 20 25 30 -0.025 0.000 0.025 0.050 0.075
Abroad - Small Banks
0 5 10 15 20 25 30 -0.016
-0.008 0.000 0.008
0.016 Abroad - Medium Sized Banks
0 5 10 15 20 25 30 -0.06
-0.04 -0.02 0.00
0.02 Abroad - Large Banks
0 5 10 15 20 25 30 -0.15 -0.10 -0.05 0.00 0.05
Figure A8: The effects of a monetary policy shock on the internal interbank market; bank variables calculated with methodology (1)
Effect of a Monetary Policy Shock internal interbank market Assets - Small Banks
0 5 10 15 20 25 30 -0.024
-0.012 0.000 0.012
Assets - Medium Banks
0 5 10 15 20 25 30 -0.036 -0.024 -0.012 -0.000 0.012
Assets - Large Banks
0 5 10 15 20 25 30 -0.0090
-0.0045 0.0000 0.0045
Liabilities - Small Banks
0 5 10 15 20 25 30 -0.0035
0.0000 0.0035 0.0070
Liabilities - Medium Banks
0 5 10 15 20 25 30 -0.0025 0.0000 0.0025 0.0050 0.0075
Liabilities - Large Banks
0 5 10 15 20 25 30 -0.024 -0.016 -0.008 0.000 0.008
Figure A9: The effects of a monetary policy shock on bank loans to the non- financial sector by banks that are neither part of the savings bank sector nor of the cooperative bank sector; bank variables calculated with methodology (1)
Effect of a Monetary Policy Shock Interest Rate 0 5 10 15 20 25 30 -0.05 0.00 0.05 0.10 0.15 Inflation 0 5 10 15 20 25 30 -0.6 0.0 0.6 1.2 Industrial Production 0 5 10 15 20 25 30 -0.50 -0.25 0.00 0.25 0.50
Bank Loans - Small + Med. Banks
0 5 10 15 20 25 30 -0.032
-0.016 0.000 0.016
Bank Loans - Large Banks
0 5 10 15 20 25 30 -0.008
-0.004 0.000 0.004
A4: SENSITIVITY ANALYSIS: INCLUSION OF A LINEAR TREND IN THE