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Banking Credit, Policy Interest Rate and Reserve Requirements in Peru

  • Oscar Dancourt

    ()

    (Pontificia Universidad Católica del Perú)

This paper evaluates the relevance of the "bank lending channel" of monetary policy transmission in Peru with disaggregated monthly data of the Peruvian banks balance sheets from January 2003 to December 2011. We study two policy instruments used during the inflation targeting regime: the short-term interest rate or policy rate and the reserve requirements on banks deposits. In a Bernanke-Blinder model where the monetary authority sets the interest rate instead of a monetary aggregate, the increases in both policy instruments have a negative impact on economic activity and bank loans. Using dynamic panel data techniques, we find that the short-term interest rate and the reserve requirements have a negative impact on the growth rate of bank loans.

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File URL: http://www.bcra.gov.ar/pdfs/investigaciones/65-66_Dancourt.pdf
File Function: Spanish version (versión en Español)
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Article provided by Central Bank of Argentina, Economic Research Department in its journal Ensayos Económicos.

Volume (Year): 1 (2012)
Issue (Month): 65-66 (September)
Pages: 41-60

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Handle: RePEc:bcr:ensayo:v:1:y:2012:i:65-66:p:41-60
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  1. Gambacorta, Leonardo, 2001. "Bank-specific characteristics and monetary policy transmission: the case of Italy," Working Paper Series 0103, European Central Bank.
  2. Bernanke, Ben & Gertler, Mark, 1995. "Inside the Black Box: The Credit Channel of Monetary Policy Transmission," Working Papers 95-15, C.V. Starr Center for Applied Economics, New York University.
  3. Leonardo Gambacorta, 2005. "How Do Banks Set Interest Rates?," Temi di discussione (Economic working papers) 542, Bank of Italy, Economic Research and International Relations Area.
  4. Yener Altunbas & Leonardo Gambacorta & David Marqu�s, 2007. "Securitisation and the bank lending channel," Temi di discussione (Economic working papers) 653, Bank of Italy, Economic Research and International Relations Area.
  5. Anil K. Kashyap & Jeremy C. Stein, 1994. "Monetary Policy and Bank Lending," NBER Chapters, in: Monetary Policy, pages 221-261 National Bureau of Economic Research, Inc.
  6. Michael Ehrmann & Leonardo Gambacorta & Jorge Martínez-Pagés & Patrick Sevestre & Andreas Worms, 2001. "Financial Systems and the Role of Banks in Monetary Policy Transmission in the Euro Area," Banco de Espa�a Working Papers 0118, Banco de Espa�a.
  7. L. Wade, 1988. "Review," Public Choice, Springer, vol. 58(1), pages 99-100, July.
  8. Castillo, Paul & Barco, Daniel, 2009. "Crisis financieras y manejo de reservas en el Perú," Revista Estudios Económicos, Banco Central de Reserva del Perú, issue 17, pages 85-112.
  9. Arellano, Manuel & Bond, Stephen, 1991. "Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations," Review of Economic Studies, Wiley Blackwell, vol. 58(2), pages 277-97, April.
  10. repec:fgv:epgrbe:v:59:n:1:a:5 is not listed on IDEAS
  11. Weth, Mark A., 2002. "The pass-through from market interest rates to bank lending rates in Germany," Discussion Paper Series 1: Economic Studies 2002,11, Deutsche Bundesbank, Research Centre.
  12. Westerlund, Joakim, 2003. "A Panel Data Test of the Bank Lending Channel in Sweden," Working Papers 2003:16, Lund University, Department of Economics.
  13. Oscar Dancourt & Waldo Mendoza, 2002. "Modelos macroeconómicos para una economía dolarizada," Libros PUCP / PUCP Books, Fondo Editorial de la Pontificia Universidad Católica del Perú, edition 1, number lde-2002-02, November.
  14. Jeremy C. Stein & Anil K. Kashyap, 2000. "What Do a Million Observations on Banks Say about the Transmission of Monetary Policy?," American Economic Review, American Economic Association, vol. 90(3), pages 407-428, June.
  15. Worms, Andreas, 2001. "The reaction of bank lending to monetary policy measures in Germany," Working Paper Series 0096, European Central Bank.
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