In this paper we explore empirically to what extent expected monetary policy matters for the dynamics of bank lending rates in the U.S. and in the U.K. Based on endogenously determined break points, we document a number of structural breaks in the relationship between expected policy and retail...

At the center of this study is the identification of the empirically and, thus, policy relevant causes of financial contraction. Our focus is on identifying the "pure" credit-limiting supply effect in order to assess its importance as it is claimed in the theoretical literature.