Monetary Policy Transmission and Bank Resilience in Germany: Heterogeneous Effects Across Bank Types
Description
This dataset replicates all empirical results, tables, and figures in "Monetary Policy Transmission and Bank Resilience in Germany: Heterogeneous Effects Across Bank Size." It examines how conventional and unconventional ECB monetary policy shocks affect the resilience of five German bank types (Large Banks, Regional Banks, Landesbanken, Sparkassen, Credit Unions) from 1999 to 2021, with resilience measured by the Z-score. The package contains monthly balance sheet and profit & loss data for German bank types from the Deutsche Bundesbank, ECB monetary policy shock series (Jarociński-Karadi 2020; Altavilla et al. 2019; Baumgärtner-Klose 2021), shadow rate measures (Krippner 2016; Wu-Xia 2016), and macroeconomic controls from FRED (industrial production, CPI, 10-year Bund yield, unemployment, exchange rate, stock market index). Six R scripts run the full pipeline: downloading raw Bundesbank data, computing monthly Z-scores in multiple variants, producing descriptive figures, merging the model input panel, estimating LP-IV impulse responses for the full sample and pre/post-2010 subsamples, and building final tables and IRF plots.