The Bank Lending Channel in Peru: evidence and transmission mechanism
AbstractIn the past ten years the Peruvian economy has experienced important structural changes regarding monetary policy. This document focuses on the bank lending channel as part of the transmission process to macroeconomic activity in the Peruvian economy based on Bernanke, Gertler, and Gilchrist (1996) flight-to-quality argument. The purpose of this work is to identify the bank lending channel (using bank level data), and test its relevance for understanding the transmission to economic activity by comparing monetary policy effects under two scenarios; with and without a bank lending channel (using structural autoregressive vectors). As in Gambacorta (2005), I consider a sample period in which a policy variable can capture the monetary policy stance of the central bank. For the case of Peru, I conclude that the bank lending channel has operated but this channel is not important for identifying the transmission process from monetary policy to macroeconomic activity.
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Bibliographic InfoPaper provided by Banco Central de Reserva del Perú in its series Working Papers with number 2010-021.
Date of creation: Dec 2010
Date of revision:
Monetary policy transmission; Bank lending channel; flight-to-quality; panel of banks;
Find related papers by JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- E51 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Money Supply; Credit; Money Multipliers
- E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
- E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-01-16 (All new papers)
- NEP-BAN-2011-01-16 (Banking)
- NEP-CBA-2011-01-16 (Central Banking)
- NEP-MON-2011-01-16 (Monetary Economics)
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.:
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"Bank Lending, Credit Shocks, and the Transmission of Canadian Monetary Policy,"
03-9, Bank of Canada.
- Atta-Mensah, Joseph & Dib, Ali, 2008. "Bank lending, credit shocks, and the transmission of Canadian monetary policy," International Review of Economics & Finance, Elsevier, vol. 17(1), pages 159-176.
- M. Lopreite, 2012. "Securitization and monetary transmission mechanism: evidence from italy (1999-2009)," Economics Department Working Papers 2012-EP04, Department of Economics, Parma University (Italy).
- Bazán, Walter, 2011. "No-linealidades y asimetrías en el crédito peruano," Working Papers 2011-015, Banco Central de Reserva del Perú.
- Syden Mishi & Asrat Tsegaye, 2012. "The Role of Banks in Monetary Policy Transmission in South Africa," Working Papers 295, Economic Research Southern Africa.
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