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Bank Credit Channel of Monetary Policy in the UEMOA Zone: A TVP-VAR Approach

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  • Prao Yao Séraphin
  • Anzara Xavier Fabrice Méa

Abstract

The main objective of this article is to analyze the transmission of monetary policy in the WAEMU zone via the bank credit channel, using monthly data from January 1999 to December 2021. Methodologically, we apply a TVP-VAR model that allows coefficients to vary over time to reflect potential changes in time series dynamics. First, we find that the bank credit channel remains relatively weak in the union. Secondly, monetary policy shocks have evolved over time. Thirdly, the tertiary sector is relatively more responsive to monetary policy shocks than the primary and secondary sectors.

Suggested Citation

  • Prao Yao Séraphin & Anzara Xavier Fabrice Méa, 2024. "Bank Credit Channel of Monetary Policy in the UEMOA Zone: A TVP-VAR Approach," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 16(1), pages 1-73, January.
    • Handle: RePEc:ibn:ijefaa:v:16:y:2024:i:1:p:73
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    References listed on IDEAS

    as
    1. Jérôme Creel & Sandrine Levasseur, 2006. "Canaux de transmission de la politique monétaire dans l'ue. Le cas de trois nouveaux entrants," Revue économique, Presses de Sciences-Po, vol. 57(4), pages 881-898.
    2. repec:hal:spmain:info:hdl:2441/3262 is not listed on IDEAS
    3. Koop, Gary & Korobilis, Dimitris, 2010. "Bayesian Multivariate Time Series Methods for Empirical Macroeconomics," Foundations and Trends(R) in Econometrics, now publishers, vol. 3(4), pages 267-358, July.
    4. Bernanke, Ben S & Blinder, Alan S, 1988. "Credit, Money, and Aggregate Demand," American Economic Review, American Economic Association, vol. 78(2), pages 435-439, May.
    5. Hernando, Ignacio & Martínez Pagés, Jorge, 2001. "Is there a bank lending channel of monetary policy in Spain?," Working Paper Series 99, European Central Bank.
    6. Désiré Kanga, 2021. "Banks and Monetary Policy Transmission in the West African Economic and Monetary Union," Working Papers 488, African Economic Research Consortium, Research Department.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    JEL classification:

    • R00 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General - - - General
    • Z0 - Other Special Topics - - General

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