IDEAS home Printed from https://ideas.repec.org/a/ibn/ijefaa/v16y2024i1p73.html
   My bibliography  Save this article

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

Author

Listed:
  • 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
    as

    Download full text from publisher

    File URL: https://ccsenet.org/journal/index.php/ijef/article/download/0/0/49657/53657
    Download Restriction: no
    File URL: https://ccsenet.org/journal/index.php/ijef/article/view/0/49657
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. repec:spo:wpmain:info:hdl:2441/3262 is not listed on IDEAS
    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. Stephen D. Oliner & Glenn D. Rudebusch, 1995. "Is there a bank lending channel for monetary policy?," Economic Review, Federal Reserve Bank of San Francisco, pages 1-20.
    5. 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.
    6. 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.
    7. Hernando, Ignacio & Martínez Pagés, Jorge, 2001. "Is there a bank lending channel of monetary policy in Spain?," Working Paper Series 99, European Central Bank.
    8. repec:aer:wpaper:488 is not listed on IDEAS
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Tomas Konecny & Oxana Babecka-Kucharcukova, 2016. "Credit Spreads and the Links between the Financial and Real Sectors in a Small Open Economy: The Case of the Czech Republic," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 66(4), pages 302-321, August.
    2. Brissimis, Sophocles N. & Kamberoglou, Nicos C. & Simigiannis, George T., 2001. "Is there a bank lending channel of monetary policy in Greece? Evidence from bank level data," Working Paper Series 104, European Central Bank.
    3. Angelopoulou, Eleni & Balfoussia, Hiona & Gibson, Heather D., 2014. "Building a financial conditions index for the euro area and selected euro area countries: What does it tell us about the crisis?," Economic Modelling, Elsevier, vol. 38(C), pages 392-403.
    4. Repullo, Rafael & Suarez, Javier, 2000. "Entrepreneurial moral hazard and bank monitoring: A model of the credit channel," European Economic Review, Elsevier, vol. 44(10), pages 1931-1950, December.
    5. Gabriel Jiménez & Steven Ongena & José‐Luis Peydró & Jesús Saurina, 2014. "Hazardous Times for Monetary Policy: What Do Twenty‐Three Million Bank Loans Say About the Effects of Monetary Policy on Credit Risk‐Taking?," Econometrica, Econometric Society, vol. 82(2), pages 463-505, March.
    6. Zeyyad Mandalinci, 2015. "Effects of Monetary Policy Shocks on UK Regional Activity: A Constrained MFVAR Approach," Working Papers 758, Queen Mary University of London, School of Economics and Finance.
    7. International Monetary Fund, 2011. "Impact of the Global Crisison Banking Sector Soundness in Asian Low-Income Countries," IMF Working Papers 2011/115, International Monetary Fund.
    8. Yu Hsing & Wen-jen Hsieh, 2014. "Test of the Bank Lending Channel for a BRICS Country," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 4(8), pages 1016-1023, August.
    9. Viviana Fernández, 2004. "The Credit Channel in an Emerging Economy," Documentos de Trabajo 175, Centro de Economía Aplicada, Universidad de Chile.
    10. Amine Ben Amar, 2022. "On the role of Islamic banks in the monetary policy transmission in Saudi Arabia," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 12(1), pages 55-94, March.
    11. Nagano, Mamoru, 2010. "The Effect of Easing Monetary Policy in Regional Lending Markets in Japan," MPRA Paper 25335, University Library of Munich, Germany.
    12. Borensztein, Eduardo & Lee, Jong-Wha, 2002. "Financial crisis and credit crunch in Korea: evidence from firm-level data," Journal of Monetary Economics, Elsevier, vol. 49(4), pages 853-875, May.
    13. Aliaga-Díaz, Roger & Olivero, María Pía, 2011. "Erratum to: "On the firm-level implications of the bank lending channel of monetary policy" [J. Econ. Dynamics Control 34 (10) (2010) 2038-2055]," Journal of Economic Dynamics and Control, Elsevier, vol. 35(5), pages 813-813, May.
    14. Brissimis, Sophocles N. & Delis, Manthos D., 2009. "Identification of a loan supply function: A cross-country test for the existence of a bank lending channel," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(2), pages 321-335, April.
    15. Brissimis, Sophocles N. & Magginas, Nicholas S., 2005. "Changes in financial structure and asset price substitutability: A test of the bank lending channel," Economic Modelling, Elsevier, vol. 22(5), pages 879-904, September.
    16. Misa Tanaka, 2002. "How Do Bank Capital and Capital Adequacy Regulation Affect the Monetary Transmission Mechanism?," CESifo Working Paper Series 799, CESifo.
    17. Golodniuk, Inna, 2006. "Evidence on the bank-lending channel in Ukraine," Research in International Business and Finance, Elsevier, vol. 20(2), pages 180-199, June.
    18. Kaufmann, Sylvia, 2001. "Asymmetries in bank lending behaviour. Austria during the 1990s," Working Paper Series 97, European Central Bank.
    19. Kashyap, Anil K. & Mojon, Benoît & Terlizzese, Daniele & Backé, Peter, 2002. "Monetary Transmission in the Euro Area : Where Do We Stand?," Working Paper Series 114, European Central Bank.
    20. Nicholas Apergis & Effrosyni Alevizopoulou, 2012. "The Bank Lending Channel and Monetary Policy Rules: Evidence from European Banks," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 18(1), pages 1-14, February.

    More about this item

    JEL classification:

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

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ibn:ijefaa:v:16:y:2024:i:1:p:73. See general information about how to correct material in RePEc.

    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 CitEc recognized a bibliographic reference but did not link an item in RePEc 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 RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Canadian Center of Science and Education (email available below). General contact details of provider: https://edirc.repec.org/data/cepflch.html .

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

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.