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Fagan, Gabriel, Jérôme Henry and Ricardo Mestre, 2001, “An Area-wide Model (AWM) for the euro area,” ECB working paper No. 42 (Frankfurt: ECB).
ECB, 2009b, “Survey on the access to finance of small and medium-sized enterprises in the euro area,” September (Frankfurt: ECB).
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Prepared by Thomas Harjes.
See, ECB (2009a) for a comprehensive overview of the main monetary policy transmission channels involving banks.
Very large and highly-rated euro-area corporations usually have access to international capital markets but others may be constrained by relatively underdeveloped national capital markets, such as Germany’s.
The quarterly data are real GDP (q-o-q growth), the overnight interest rate, real bank loans (q-o-q growth), and the difference in annual growth rates of the stock of bank loans to non-financial corporations and debt securities issued by non-financial corporations over 1990:1–2009:4. Real GDP and GDP deflator data for 1995:1–2009:4 are from Eurostat, for 1990:1–1994:1, these data are from the Area-wide Model (AWM) database for the euro area, see Fagan, Henry and Mestre (2001). US GDP data and Moody’s Baa-Aaa spread are from by the Federal Reserve Bank of Saint Louis and all other data are from the ECB.
Especially the recent euro-area bank losses due to U.S. mortgage market exposure reflect an exogenous shock not directly related to the euro-area business cycle that led to a decline in bank capital.