Monetary Policy Transmission in Poland: a Study of the Importance of Interest Rate and Credit Channels
- Morten Balling()
The importance of credit in the monetary transmission mechanism has recently attained a lot of attention due to a growing understanding that credit market imperfections can have an impact on the monetary policy effectiveness. In this study, using Vector Error Correction Models (VECMs) and Structural Vector Autoregressions (S-VARs), we go in-depth of the role of credit in the Polish monetary policy transmission. Papers on the role of credit in the money transmission mechanism (MTM) in Poland show that the credit channel operates. It seems however, that factors through which it affects the aggregate demand might have changed over time. The most recent study on the bank-level data suggests that the degree of bank liquidity has an impact on its efficiency: the most liquid banks do not reduce their loan supply for firms after monetary policy tightening. Previous works suggested that bank size and capital as well as variables connected with risk taking might have played a role in the credit channel operation. The results presented in this study suggest that the monetary policy impact on loan supply is, if anything, weak. One of the reasons is that Polish banks hold large amounts of highly liquid assets in their portfolios. Banks are therefore able to implement buffer-stock behaviour: in response to a tighter monetary policy, they can reduce their stocks of most liquid assets and insulate loan portfolios. To shed some light on the behaviour of the corporate sector we show how interest rate shocks affect the indebtedness of various types of firms (private, individual . i.e. small privately owned entities employing up to nine persons, state-owned). Since the balance sheet channel (one of the concepts within the broad credit channel theory) stresses the impact of monetary policy on the borrowers. balance sheets, we examine the relationship between loans and financial standing of firms. We find some support for the hypothesis that firms. balance sheets are an important factor in the loan supply function. We also analyse the reactions of various types of loans, i.e. investment, revolving and export credit, as well as real estate and securities loans to monetary policy shocks. Our results suggest that after a monetary tightening the response of investment loans differs from the response of other types of loans.
|This book is provided by SUERF - The European Money and Finance Forum in its series SUERF Studies with number 2008/1 and published in 2008.|
|Contact details of provider:|| Postal: SUERF c/o OeNB, Otto-Wagner-Platz 3, A-1090 Vienna, Austria|
Phone: +43/1/404 20 7216
Fax: +43/1/404 20 7298
Web page: http://www.suerf.org
More information through EDIRC
|Order Information:|| Postal: SUERF c/o OeNB, Otto-Wagner-Platz 3, A-1090 Vienna, Austria|
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.:
- Kenneth N. Kuttner & Patricia C. Mosser, 2002. "The monetary transmission mechanism: some answers and further questions," Economic Policy Review, Federal Reserve Bank of New York, issue May, pages 15-26.
- Oliver Hülsewig & Eric Mayer & Timo Wollmershäuser, 2005.
"Bank Loan Supply and Monetary Policy Transmission in Germany: An Assessment Based on Matching Impulse Responses,"
Ifo Working Paper Series
Ifo Working Papers No.14, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich.
- Hulsewig, Oliver & Mayer, Eric & Wollmershauser, Timo, 2006. "Bank loan supply and monetary policy transmission in Germany: An assessment based on matching impulse responses," Journal of Banking & Finance, Elsevier, vol. 30(10), pages 2893-2910, October.
- Hülsewig, Oliver & Mayer, Eric & Wollmershäuser, Timo, 2006. "Bank loan supply and monetary policy transmission in Germany: An assessment based on matching impulse responses," Munich Reprints in Economics 19432, University of Munich, Department of Economics.
- Oliver Hülsewig & Eric Mayer & Timo Wollmershäuser, 2005. "Bank Loan Supply and Monetary Policy Transmission in Germany: An Assessment Based on Matching Impulse Responses," CESifo Working Paper Series 1380, CESifo Group Munich.
- Hülsewig, Oliver & Mayer, Eric & Wollmershäuser, Timo, 2004. "Bank Loan Supply and Monetary Policy Transmission in Germany: An Assessment based on Matching Impulse Responses," W.E.P. - Würzburg Economic Papers 54, University of Würzburg, Chair for Monetary Policy and International Economics.
- Jan Przystupa, 2002. "The exchange rate in the monetary transmission mechanism," National Bank of Poland Working Papers 25, National Bank of Poland, Economic Institute.
- Valerie A. Ramey, 1993.
"How Important is the Credit Channel in the Transmission of Monetary Policy?,"
NBER Working Papers
4285, National Bureau of Economic Research, Inc.
- Ramey, Valerie, 1993. "How important is the credit channel in the transmission of monetary policy?," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 39(1), pages 1-45, December.
- Kakes, Jan, 1998. "Monetary transmission and bank lending in the Netherlands," Research Report 98C30, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
- repec:dgr:rugsom:98c30 is not listed on IDEAS
- Stacey L. Schreft & Raymond E. Owens, 1991.
"Survey evidence of tighter credit conditions: what does it mean?,"
Federal Reserve Bank of Richmond, issue Mar, pages 29-34.
- Stacey L. Schreft & Raymond E. Owens, 1991. "Survey evidence of tighter credit conditions: what does it mean?," Working Paper 91-05, Federal Reserve Bank of Richmond.
- Lyziak, Tomasz & Mackiewicz, Joanna & Stanislawska, Ewa, 2007. "Central bank transparency and credibility: The case of Poland, 1998-2004," European Journal of Political Economy, Elsevier, vol. 23(1), pages 67-87, March.
- R. Glenn Hubbard, 1994. "Is There a `Credit Channel' for Monetary Policy?," NBER Working Papers 4977, National Bureau of Economic Research, Inc.
- Kakes, Jan & Sturm, Jan-Egbert & Philipp Maier, 1999. "Monetary transmission and bank lending in Germany," CCSO Working Papers 199906, University of Groningen, CCSO Centre for Economic Research.
- Peersman, Gert & Smets, Frank, 2001. "The monetary transmission mechanism in the euro area: more evidence from VAR analysis," Working Paper Series 0091, European Central Bank.
- Mojon, Benoît & Peersman, Gert, 2001. "A VAR description of the effects of monetary policy in the individual countries of the euro area," Working Paper Series 0092, European Central Bank.
- repec:dgr:rugccs:199906 is not listed on IDEAS
- Lyziak, Tomasz, 2003. "Consumer inflation expectations in Poland," Working Paper Series 0287, European Central Bank.
When requesting a correction, please mention this item's handle: RePEc:erf:erfstu:48. 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: (Dragana Popovic)
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.