Monetary transmission in Poland: some evidence on interest rate and credit channels
In the paper we show the macroeconomic effects of a monetary policy shock using both recursive and non-recursive SVAR decomposition. We find that the responsiveness of the CPI index and output in Poland is smaller and slower than in the euro zone. Using panel data we check how bank-specific characteristics affect operation of the lending channel. In contrast to the results for the euro area the degree of liquidity of an average bank seems not to work in a way predicted by the literature. Credit channel seems to operate rather through the degree of capitalisation and bank’s size. A plausible reason is the structural overliquidity of the banking sector. On the other hand, the pass-through from the market interest rates to the loan and deposit rates is in general not slower than in the euro zone.
|Date of creation:||2002|
|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
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.:
- Gambacorta, L. & Martínez-Pagés, J. & Sevestre, P. & Worms, A., 2002. "Financial Systems and the Role of Banks in Monetary Policy Transmission in the Euro Area.Author-Name: Ehrmann, M," Working papers 93, Banque de France.
- Worms, Andreas, 2001. "Monetary policy effects on bank loans in Germany: A panel-econometric analysis," Discussion Paper Series 1: Economic Studies 2001,17, Deutsche Bundesbank, Research Centre.
- 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.
- Ben S. Bernanke & Alan S. Blinder, 1988. "Credit, Money, and Aggregate Demand," NBER Working Papers 2534, National Bureau of Economic Research, Inc.
- Favero, Carlo A., 2001. "Applied Macroeconometrics," OUP Catalogue, Oxford University Press, number 9780198296850.
- Bean, Charles & Larsen, Jens D. J. & Nikolov, Kalin, 2002. "Financial frictions and the monetary transmission mechanism: theory, evidence and policy implications," Working Paper Series 0113, European Central Bank.
- Sterne, Gabriel & Bayoumi, Tamim, 1995. "Temporary Cycles or Volatile Trends? Economic Fluctuations in 21 OECD Economies," The Manchester School of Economic & Social Studies, University of Manchester, vol. 63(1), pages 23-51, March.
- Gabriel Sterne & Tamim Bayoumi, 1993. "Temporary cycles or volatile trends? Economic fluctuations in 21 OECD economies," Bank of England working papers 13, Bank of England.
When requesting a correction, please mention this item's handle: RePEc:nbp:nbpmis:24. 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: (Zbigniew Polański)
If references are entirely missing, you can add them using this form.