Advanced Search
MyIDEAS: Login

A Theoretical and Empirical Assessment of the Bank Lending Channel and Loan Market Disequilibrium in Poland

Contents:

Author Info

  • Christophe Hurlin
  • Rafal Kierzenkowski

Abstract

We study the impact of the bank lending channel and loan market disequilibrium on the efficiency of the monetary policy transmission in Poland since 1994. First, we develop a simple credit-augmented model with an interest rate control, flexible prices and an imperfect nominal wage indexation. Within this framework, we establish that the bank lending channel may amplify but also attenuate the impact of monetary policy shocks on output and prices as compared to the traditional interest rate channel. The variations in the interest rate spread between the loan rate and the central bank’s intervention rate are a good indicator when distinguishing between amplification and attenuation effects of monetary policy shocks provided that there is a positive relationship between both rates and that the loan interest rate is a market clearing variable. Second, we apply a regime switching framework to the loan market. The results suggest that disequilibrium is a permanent characteristic of the Polish loan market since 1994. Moreover, we discuss empirically the impact of any type of disequilibrium in the loan market on the effectiveness of the bank lending channel. We find attenuation effects of the bank lending channel on monetary policy shocks from the beginning of 1996 to August 1998, and on average a neutral effect of this transmission channel from September 1998 to June 2001.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.nbp.pl/publikacje/materialy_i_studia/22_en.pdf
Download Restriction: no

Bibliographic Info

Paper provided by National Bank of Poland, Economic Institute in its series National Bank of Poland Working Papers with number 22.

as in new window
Length: 36
Date of creation: 2002
Date of revision:
Handle: RePEc:nbp:nbpmis:22

Contact details of provider:
Postal: 00-919 Warszawa ul. Świętokrzyska 11/21
Phone: (0-22) 653 10 00
Fax: (0-22) 620 85 18
Web page: http://www.nbp.pl/Homen.aspx?f=en/publikacje/materialy_i_studia/informacja_en.html
More information through EDIRC

Related research

Keywords:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. Ceyla PazarbaÅŸioÄŸlu, 1997. "A Credit Crunch? Finland in the Aftermath of the Banking Crisis," IMF Staff Papers, Palgrave Macmillan, vol. 44(3), pages 315-327, September.
  2. Maddala, G S & Nelson, Forrest D, 1974. "Maximum Likelihood Methods for Models of Markets in Disequilibrium," Econometrica, Econometric Society, vol. 42(6), pages 1013-30, November.
  3. Ben S. Bernanke & Alan S. Blinder, 1989. "Credit, Money, and Aggregate Demand," NBER Working Papers 2534, National Bureau of Economic Research, Inc.
  4. Sargent, Thomas J & Wallace, Neil, 1975. ""Rational" Expectations, the Optimal Monetary Instrument, and the Optimal Money Supply Rule," Journal of Political Economy, University of Chicago Press, vol. 83(2), pages 241-54, April.
  5. Gambacorta, L., 1997. "Heterogeneous "Credit Channels: and Optimal Monetary Policy in a Monetary Union," The Warwick Economics Research Paper Series (TWERPS) 492, University of Warwick, Department of Economics.
  6. Sealey, C W, Jr, 1979. "Credit Rationing in the Commercial Loan Market: Estimates of a Structural Model under Conditions of Disequilibrium," Journal of Finance, American Finance Association, vol. 34(3), pages 689-702, June.
  7. Tomasz Lyziak, 2002. "Monetary transmission mechanism in Poland.The strenght and delays," National Bank of Poland Working Papers 26, National Bank of Poland, Economic Institute.
  8. Anil K Kashyap & Jeremy C. Stein & David W. Wilcox, 1992. "Monetary Policy and Credit Conditions: Evidence From the Composition of External Finance," NBER Working Papers 4015, National Bureau of Economic Research, Inc.
Full references (including those not matched with items on IDEAS)

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Fabrizio Coricelli & Balázs Égert & Ronald MacDonald, 2006. "Monetary Transmission in Central and Eastern Europe: Gliding on a Wind of Change," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue 1.
  2. Balázs Égert & Ronald MacDonald, 2006. "Monetary Transmission Mechanism in Transition Economies: Surveying the Surveyable," MNB Working Papers 2006/5, Magyar Nemzeti Bank (the central bank of Hungary).
  3. Srdjan Kujundzic & Dragiša Otaševic, 2012. "The bank lending channel in an euroised economy: the case of Serbia," Working papers 24, National Bank of Serbia.
  4. Luc, BAUWENS & Michel, LUBRANO, 2006. "Bayesian Inference in Dynamic Disequilibrium Models : an Application to the Polish Credit Market," Discussion Papers (ECON - Département des Sciences Economiques) 2006027, Université catholique de Louvain, Département des Sciences Economiques.
  5. Fabrizio Coricelli & Balázs Égert & Ronald MacDonald, 2006. "Monetary Transmission Mechanism in Central & Eastern Europe: Gliding on a Wind of Change," William Davidson Institute Working Papers Series wp850, William Davidson Institute at the University of Michigan.
  6. Brzoza-Brzezina, Michał & Chmielewski, Tomasz & Niedźwiedzińska, Joanna, 2007. "Substitution between domestic and foreign currency loans in Central Europe. Do central banks matter?," MPRA Paper 6759, University Library of Munich, Germany.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:nbp:nbpmis:22. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Ewa Szymecka).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.