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The Operation of Credit Channel in Fragile Five Countries

Year 2020, Volume: 8 Issue: 1, 55 - 78, 29.06.2020

Abstract

Bu çalışmada parasal aktarım mekanizması kanallarından kredi kanalının ampirik olarak incelenmesi amaçlanmaktadır. Bu amaç doğrultusunda Kırılgan Beşli olarak adlandırılan Brezilya, Endonezya, Hindistan, Güney Afrika ve Türkiye için 2001:Q1-2019Q4 çeyrek dönem verileriyle panel Granger nedensellik analizi yapılmıştır. Granger nedensellik analizi sonuçlarına göre faiz oranları kredi hacminin Granger nedeni iken, kredi hacmi de enflasyonun Granger nedenidir. Fakat kredi hacmi ile büyüme arasında bir nedensellik ilişkisi tespit edilmemiştir. Büyüme ve kredi hacmi arsında nedensellik ilişkisinin olmaması kredi kanalının söz konusu ülkelerde kısmen işlediğini göstermektedir.

References

  • Bernanke, B. S. and Blinder, A. S. (1992). The Federal Funds Rate and Channels of Monetary Transmission. American Economic Review, 82(4), 901-921.
  • Bernanke, B. S. and Gertler, M. (1995). Inside the Black Box: The Credit Channel of Monetary Policy Transmission. Journal of Economic perspectives, 9(4), 27-48.
  • Bhatt, V. and Kishor, N. K. (2013). Bank Lending Channel in India: Evidence From State-Level Analysis. Empirical Economics, 45(3), 1307–1331.
  • Bhattacharya, M., Paramati, S. R., Ozturk, I., and Bhattacharya, S. (2016). The effect of renewable energy consumption on economic growth: Evidence from top 38 countries. Applied Energy, 162, 733-741.
  • BIS, 2020. https://www.bis.org/statistics/totcredit.htm adresinden ulaşılmıştır (Access Date: 20.05.2020).
  • Claus, I. and Grimes, A. (2003). Asymmetric Information, Financial Intermediation and the Monetary Transmission Mechanism: A Critical Review. New Zealand Treasury Working Paper, 03/19.
  • Çavuşoğlu, A. T. (2002). Credit Transmission Mechanism in Turkey: An Empirical Investigation. ERC Working Paper, 2(3), 1-30.
  • De Bondt, G. (2004). The Balance Sheet Channel of Monetary Policy: First Empirical Evidence for The Euro Area Corporate Bond Market. International Journal of Finance & Economics, 9(3), 219-228.
  • De Mello, L. and Pisu, M. (2010). The bank lending channel of monetary transmission in Brazil: A VECM approach. The Quarterly Review of Economics and Finance, 50(1), 50-60.
  • Dornbusch, R. and Fischer S. (1994). Macroeconomics. Sixth Edition, İstanbul: Literatür Yayıncılık.
  • Dumitrescu, E. I., and Hurlin, C. (2012). Testing for Granger non-causality in heterogeneous panels. Economic modelling, 29(4), 1450-1460.
  • Erdoğan, S. and Beşballı, S. G. (2009). Empirical Analysis of the Bank Lending Channel in Turkey. Doğuş Üniversitesi Dergisi, 11(1), 28-41.
  • Erim, N. (2011). İktisadi Düşünce Tarihi. Kocaeli: Umuttepe Yayınevi.
  • Farinha, L. and Marques, R. C. (2001). The Bank Lending Channel of Monetary Policy: Identification and Estimation Using Portuguese Micro Bank Data. European Central Bank Working Paper Series, No:102.
  • Friedman, B. M. (2000). Monetary Policy. National Bureau of Economic Research, No. w8057.
  • Gambacorta, L. and Rossi, C. (2010). Modelling Bank Lending in The Euro Area: A Nonlinear Approach. Applied Financial Economics, 20(14), 1099-1112.
  • Garretsen, H. and Swank, J. (1998). The Transmission of Interest Rate Changes and the Role of Bank Balance Sheets: A VAR-Analysis for the Netherlands. Journal of Macroeconomics, 20(2), 325-339.
  • Garretsen, H. and Swank, B. (2003). The Bank Lending Channel in the Netherlands: The Impact of Monetary Policy on Households and Firms. De Economist, 151(1), 35-51.
  • Giuliodori, M. (2004). Monetary Policy Shocks and the Role of House Prices Across European Countries. Working Paper No:15, Netherlands Central Bank, Research Department.
  • Goh, K. and Yong, S. (2007). Bank Lending and Monetary Policy: The Effects of Structural Shift in Interest Rates. Economics Bulletin, 5(5), 1-14.
  • Goodfriend, M. (2011). Central Banking in The Credit Turmoil: An Assessment of Federal Reserve Practice. Journal of Monetary Economics, 58(1),1-12.
  • Gowland, D. (1991). Money, Inflation and Unemployment: The Role of Money in the Economy. Palgrave Macmillan.
  • Gόmez-González, J. and Grosz, F. (2007). Evidence of a bank lending channel for Argentina and Colombia. Cuadernos De Economia, 44, 109-126.
  • Hadri, K. and Kurozumi, E. (2012). A simple panel stationarity test in the presence of serial correlation and a common factor. Economics Letters, 115, 31–34.
  • Holtemöller, O.(2002). Identifying a Credit Channel of Monetary Policy Transmission and Empirical Evidence for Germany. 1-19.
  • Hülsewig, O., Mayer, E. and Wollmershäuser, T. (2006). Bank Loan Supply and Monetary Policy Transmission in Germany: An Assessment Based On Matching Impulse Responses. Journal of Banking & Finance, 30(10), 2893-2910.
  • Ireland, P.N. (2005). The Monetary Transmission Mechanism. Working Paper, Federal Reserve Bank of Boston, , No: 6-1.
  • Iturriaga, F. J. L. (2000). More on the Credit Channel of Monetary Policy Transmission: An International Comparison. Applied Financial Economics, 10, 423-434.
  • Jacobs, D. and Rayner, V. (2012). The Role of Credit Supply in The Australian Economy. Reserve Bank of Australia Research Discussion Paper, 2, 1-51.
  • Jain L. C. and Tomic, I. M. (1995). Essential of Monetary and Fiscal Economics, New York: Graceway Publishing Co.
  • Kashyap, A.K. and Stein, J. C. (2000). What do a Million Observations on Banks Say About the Transmission of Monetary Policy? American Economic Review, 90, 407-428.
  • Keynes, J. M. (1973). The General Theory of Employment, Interest and Money. New York: The Macmillan Press.
  • Kishan, P.R. and Opinela P.T. (2000). Bank Size, Bank Capital, and the Bank Lending Channel. Journal of Money, Credit, and Banking, 32(1), 121-141.
  • Kuttner, K. N. and Mosser, P. C. (2002). The Monetary Transmission Mechanism: Some Answers and Further Questions. Federal Reserve Bank of New York Economic Policy Review, 8(1), 15-26.
  • Leroy, A. (2014). Competition and the bank lending channel in Eurozone. Journal of International Financial Markets, Institutions & Money, 31, 296–314.
  • Mauskopf, E. (1990). The Transmission Channels of Monetary Policy: How Have They Changed? Federal Reserve Bulletin, 70, 985-1008.
  • Mirasedoğlu, M. U. (2017). An Analysis of the Effectiveness of the Bank Credit Chanel in the Inflation Targeting Period in Turkey. Iğdır Üniversitesi Sosyal Bilimler Dergisi, 13, 518-544.
  • Mishkin, F. S. (1996) The Channels of Monetary Transmission: Lessons for Monetary Policy. NBER Working Paper, No: 5464.
  • Mishkin, S. F. (2000). Para Teorisi – Politikası (Çev. İ. Şıklar, A. Çakmak ve S.Yavuz), New York: Prentice Hall.
  • Mishkin, F. S. (2004). The Economics of Money, Banking & Financial Markets. 7. Ed., Pearson Education, USA.
  • Montes, G. C. and Machado, C. C. (2013). Credibility and the Credit Channel Transmission of Monetary Policy Theoretical Model and Econometric Analysis for Brazil. Journal of Economic Studies, 40(1), 469-492.
  • Mukhtarov, S., Mikayilov, C. and Mammadov, Z. (2016). Processing of Bank Lending Channel in Azerbaijan: An Empirical Analysis. Akademik Bakış Dergisi, 56, 475-488. Oliner, S. D. and Rudebusch, G. D. (1996). Is There a Broad Credit Channel for Monetary Policy. Federal Reserve Bank of San Francisco, Economic Review, 1, 3-13.
  • Örnek, İ. (2009). Türkiye’de Parasal Aktarım Mekanizması Kanallarının İşleyişi. Maliye Dergisi, 156(1), 104-125.
  • Pesaran M.H. (2007). A Simple Panel Unit Root Test in The Presence of Cross Section Dependence. Journal of Applied Econometrics, 22 (2), 265-312.
  • Pesaran, M. H., and Yamagata, T. (2008). Testing Slope Homogeneity in Large Panels. Journal of Econometrics, 142(1), 50–93.
  • Pesaran, M. H., Ullah, A. and Yamagata, T. (2008). A Bias-Adjusted LM Test of Error Cross-Section Independence. The Econometrics Journal, 11(1), 105-127.
  • Ramey, V. (1993). How Important is the Credit Channel in the Transmission of Monetary Policy?. In Carnegie-Rochester Conference Series on Public Policy, 39, 1-45.
  • Romer, C. D. and Romer, D. H. (1993). Credit channel or credit actions? An interpretation of the postwar transmission mechanism. National Bureau of Economic Research, w4485.
  • Saumitra, B. and Toto, G. (2012). The bank lending channel of monetary policy transmission: evidence from an emerging market, India. Munich Personel Repec Archieve, 1-27.
  • Sichei, M. M. (2005). Bank Lending Channel in South Africa: Bank-Level Dynamic Panel Data Analysis. University of Pretoria Department of Economics Working Paper Series, 10, 1-25.
  • Suzuki, T. (2004). Is The Lending Channel of Monetary Policy Dominant in Australia?. Economic Record, 80(249), 145-156.
  • Suzuki, T. (2008). Credit Channel of Monetary Policy between Australia and New Zealand: an Empirical Note, https://pdfs.semanticscholar.org/6619/b4db58dc3bcb04aab3d12c58f9f8502317f1.pdf, (Access Date: 05.05.2020).
  • Tarı, R. (2011). Ekonometri. Umuttepe Yayınları: Kocaeli.
  • Taylor, J. B. (1995). The Monetary Transmission Mechanism: An Empirical Framework. The Journal of Economic Perspectives, 9(4), 11-26.
  • Walsh, C. E. (2010). Monetary Theory and Policy, Third Edition, Cambridge, Massachusetts: MIT press.
  • Westerlund, J. (2008). Panel cointegration tests of the Fisher effect. Journal of Applied Econometrics, 23(2), 193-233.

The Operation of Credit Channel in Fragile Five Countries

Year 2020, Volume: 8 Issue: 1, 55 - 78, 29.06.2020

Abstract

In this paper, it is aimed to empirically examine the credit channel which is one of the channels of monetary transmission mechanism. The operation of credit channel is investigated for the countries Brazil, Indonesia, India, South Africa and Turkey which are categorized as fragile five countries. For this purpose panel Granger causality analysis is conducted with 2001:Q1-2019:Q4 quarterly data. According to the results, the interest rates Granger-cause the credit volume and the credit volume Granger-causes inflation. But the credit volume fails to Granger-cause growth. The absence of a causal relationship between growth and credit implies that the credit channel is partially operating in these countries.

References

  • Bernanke, B. S. and Blinder, A. S. (1992). The Federal Funds Rate and Channels of Monetary Transmission. American Economic Review, 82(4), 901-921.
  • Bernanke, B. S. and Gertler, M. (1995). Inside the Black Box: The Credit Channel of Monetary Policy Transmission. Journal of Economic perspectives, 9(4), 27-48.
  • Bhatt, V. and Kishor, N. K. (2013). Bank Lending Channel in India: Evidence From State-Level Analysis. Empirical Economics, 45(3), 1307–1331.
  • Bhattacharya, M., Paramati, S. R., Ozturk, I., and Bhattacharya, S. (2016). The effect of renewable energy consumption on economic growth: Evidence from top 38 countries. Applied Energy, 162, 733-741.
  • BIS, 2020. https://www.bis.org/statistics/totcredit.htm adresinden ulaşılmıştır (Access Date: 20.05.2020).
  • Claus, I. and Grimes, A. (2003). Asymmetric Information, Financial Intermediation and the Monetary Transmission Mechanism: A Critical Review. New Zealand Treasury Working Paper, 03/19.
  • Çavuşoğlu, A. T. (2002). Credit Transmission Mechanism in Turkey: An Empirical Investigation. ERC Working Paper, 2(3), 1-30.
  • De Bondt, G. (2004). The Balance Sheet Channel of Monetary Policy: First Empirical Evidence for The Euro Area Corporate Bond Market. International Journal of Finance & Economics, 9(3), 219-228.
  • De Mello, L. and Pisu, M. (2010). The bank lending channel of monetary transmission in Brazil: A VECM approach. The Quarterly Review of Economics and Finance, 50(1), 50-60.
  • Dornbusch, R. and Fischer S. (1994). Macroeconomics. Sixth Edition, İstanbul: Literatür Yayıncılık.
  • Dumitrescu, E. I., and Hurlin, C. (2012). Testing for Granger non-causality in heterogeneous panels. Economic modelling, 29(4), 1450-1460.
  • Erdoğan, S. and Beşballı, S. G. (2009). Empirical Analysis of the Bank Lending Channel in Turkey. Doğuş Üniversitesi Dergisi, 11(1), 28-41.
  • Erim, N. (2011). İktisadi Düşünce Tarihi. Kocaeli: Umuttepe Yayınevi.
  • Farinha, L. and Marques, R. C. (2001). The Bank Lending Channel of Monetary Policy: Identification and Estimation Using Portuguese Micro Bank Data. European Central Bank Working Paper Series, No:102.
  • Friedman, B. M. (2000). Monetary Policy. National Bureau of Economic Research, No. w8057.
  • Gambacorta, L. and Rossi, C. (2010). Modelling Bank Lending in The Euro Area: A Nonlinear Approach. Applied Financial Economics, 20(14), 1099-1112.
  • Garretsen, H. and Swank, J. (1998). The Transmission of Interest Rate Changes and the Role of Bank Balance Sheets: A VAR-Analysis for the Netherlands. Journal of Macroeconomics, 20(2), 325-339.
  • Garretsen, H. and Swank, B. (2003). The Bank Lending Channel in the Netherlands: The Impact of Monetary Policy on Households and Firms. De Economist, 151(1), 35-51.
  • Giuliodori, M. (2004). Monetary Policy Shocks and the Role of House Prices Across European Countries. Working Paper No:15, Netherlands Central Bank, Research Department.
  • Goh, K. and Yong, S. (2007). Bank Lending and Monetary Policy: The Effects of Structural Shift in Interest Rates. Economics Bulletin, 5(5), 1-14.
  • Goodfriend, M. (2011). Central Banking in The Credit Turmoil: An Assessment of Federal Reserve Practice. Journal of Monetary Economics, 58(1),1-12.
  • Gowland, D. (1991). Money, Inflation and Unemployment: The Role of Money in the Economy. Palgrave Macmillan.
  • Gόmez-González, J. and Grosz, F. (2007). Evidence of a bank lending channel for Argentina and Colombia. Cuadernos De Economia, 44, 109-126.
  • Hadri, K. and Kurozumi, E. (2012). A simple panel stationarity test in the presence of serial correlation and a common factor. Economics Letters, 115, 31–34.
  • Holtemöller, O.(2002). Identifying a Credit Channel of Monetary Policy Transmission and Empirical Evidence for Germany. 1-19.
  • Hülsewig, O., Mayer, E. and Wollmershäuser, T. (2006). Bank Loan Supply and Monetary Policy Transmission in Germany: An Assessment Based On Matching Impulse Responses. Journal of Banking & Finance, 30(10), 2893-2910.
  • Ireland, P.N. (2005). The Monetary Transmission Mechanism. Working Paper, Federal Reserve Bank of Boston, , No: 6-1.
  • Iturriaga, F. J. L. (2000). More on the Credit Channel of Monetary Policy Transmission: An International Comparison. Applied Financial Economics, 10, 423-434.
  • Jacobs, D. and Rayner, V. (2012). The Role of Credit Supply in The Australian Economy. Reserve Bank of Australia Research Discussion Paper, 2, 1-51.
  • Jain L. C. and Tomic, I. M. (1995). Essential of Monetary and Fiscal Economics, New York: Graceway Publishing Co.
  • Kashyap, A.K. and Stein, J. C. (2000). What do a Million Observations on Banks Say About the Transmission of Monetary Policy? American Economic Review, 90, 407-428.
  • Keynes, J. M. (1973). The General Theory of Employment, Interest and Money. New York: The Macmillan Press.
  • Kishan, P.R. and Opinela P.T. (2000). Bank Size, Bank Capital, and the Bank Lending Channel. Journal of Money, Credit, and Banking, 32(1), 121-141.
  • Kuttner, K. N. and Mosser, P. C. (2002). The Monetary Transmission Mechanism: Some Answers and Further Questions. Federal Reserve Bank of New York Economic Policy Review, 8(1), 15-26.
  • Leroy, A. (2014). Competition and the bank lending channel in Eurozone. Journal of International Financial Markets, Institutions & Money, 31, 296–314.
  • Mauskopf, E. (1990). The Transmission Channels of Monetary Policy: How Have They Changed? Federal Reserve Bulletin, 70, 985-1008.
  • Mirasedoğlu, M. U. (2017). An Analysis of the Effectiveness of the Bank Credit Chanel in the Inflation Targeting Period in Turkey. Iğdır Üniversitesi Sosyal Bilimler Dergisi, 13, 518-544.
  • Mishkin, F. S. (1996) The Channels of Monetary Transmission: Lessons for Monetary Policy. NBER Working Paper, No: 5464.
  • Mishkin, S. F. (2000). Para Teorisi – Politikası (Çev. İ. Şıklar, A. Çakmak ve S.Yavuz), New York: Prentice Hall.
  • Mishkin, F. S. (2004). The Economics of Money, Banking & Financial Markets. 7. Ed., Pearson Education, USA.
  • Montes, G. C. and Machado, C. C. (2013). Credibility and the Credit Channel Transmission of Monetary Policy Theoretical Model and Econometric Analysis for Brazil. Journal of Economic Studies, 40(1), 469-492.
  • Mukhtarov, S., Mikayilov, C. and Mammadov, Z. (2016). Processing of Bank Lending Channel in Azerbaijan: An Empirical Analysis. Akademik Bakış Dergisi, 56, 475-488. Oliner, S. D. and Rudebusch, G. D. (1996). Is There a Broad Credit Channel for Monetary Policy. Federal Reserve Bank of San Francisco, Economic Review, 1, 3-13.
  • Örnek, İ. (2009). Türkiye’de Parasal Aktarım Mekanizması Kanallarının İşleyişi. Maliye Dergisi, 156(1), 104-125.
  • Pesaran M.H. (2007). A Simple Panel Unit Root Test in The Presence of Cross Section Dependence. Journal of Applied Econometrics, 22 (2), 265-312.
  • Pesaran, M. H., and Yamagata, T. (2008). Testing Slope Homogeneity in Large Panels. Journal of Econometrics, 142(1), 50–93.
  • Pesaran, M. H., Ullah, A. and Yamagata, T. (2008). A Bias-Adjusted LM Test of Error Cross-Section Independence. The Econometrics Journal, 11(1), 105-127.
  • Ramey, V. (1993). How Important is the Credit Channel in the Transmission of Monetary Policy?. In Carnegie-Rochester Conference Series on Public Policy, 39, 1-45.
  • Romer, C. D. and Romer, D. H. (1993). Credit channel or credit actions? An interpretation of the postwar transmission mechanism. National Bureau of Economic Research, w4485.
  • Saumitra, B. and Toto, G. (2012). The bank lending channel of monetary policy transmission: evidence from an emerging market, India. Munich Personel Repec Archieve, 1-27.
  • Sichei, M. M. (2005). Bank Lending Channel in South Africa: Bank-Level Dynamic Panel Data Analysis. University of Pretoria Department of Economics Working Paper Series, 10, 1-25.
  • Suzuki, T. (2004). Is The Lending Channel of Monetary Policy Dominant in Australia?. Economic Record, 80(249), 145-156.
  • Suzuki, T. (2008). Credit Channel of Monetary Policy between Australia and New Zealand: an Empirical Note, https://pdfs.semanticscholar.org/6619/b4db58dc3bcb04aab3d12c58f9f8502317f1.pdf, (Access Date: 05.05.2020).
  • Tarı, R. (2011). Ekonometri. Umuttepe Yayınları: Kocaeli.
  • Taylor, J. B. (1995). The Monetary Transmission Mechanism: An Empirical Framework. The Journal of Economic Perspectives, 9(4), 11-26.
  • Walsh, C. E. (2010). Monetary Theory and Policy, Third Edition, Cambridge, Massachusetts: MIT press.
  • Westerlund, J. (2008). Panel cointegration tests of the Fisher effect. Journal of Applied Econometrics, 23(2), 193-233.
There are 56 citations in total.

Details

Primary Language English
Journal Section Research Articles
Authors

Derya Mercan 0000-0003-3011-4423

Şerif Canbay 0000-0001-6141-7510

Publication Date June 29, 2020
Published in Issue Year 2020 Volume: 8 Issue: 1

Cite

ISNAD Mercan, Derya - Canbay, Şerif. “The Operation of Credit Channel in Fragile Five Countries”. Siyaset, Ekonomi ve Yönetim Araştırmaları Dergisi 8/1 (June 2020), 55-78.