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Updated estimates of the role of the bank lending channel in monetary policy transmission in Poland

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  • Mariusz Kapuściński

    (Narodowy Bank Polski)

Abstract

In this research note I provide updated estimates of the role of the bank lending channel in monetary policy transmission in Poland. Previous estimates were described in Kapuściński (2017). The bank lending channel is defined following Disyatat (2011), as the amplification of the effect of monetary policy on bank lending, due to its impact on bank balance sheet strength. As before, the estimates are based on counterfactual impulse response functions from panel vector autoregressive models. Differences include not only the longer time series dimension of available data, but also enhancements in terms of the number of banks covered, data processing and coefficient uncertainty coverage. I find the bank lending channel to operate differently in cooperative and commercial banks. Nevertheless, estimates for the latter, significantly larger part of the banking sector are broadly in line with previous ones. 18 percent of a decline in bank lending after the tightening of monetary policy can be attributed to the bank lending channel.

Suggested Citation

  • Mariusz Kapuściński, 2023. "Updated estimates of the role of the bank lending channel in monetary policy transmission in Poland," NBP Working Papers 359, Narodowy Bank Polski.
    • Handle: RePEc:nbp:nbpmis:359
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    References listed on IDEAS

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    1. Sigmund, Michael & Ferstl, Robert, 2021. "Panel vector autoregression in R with the package panelvar," The Quarterly Review of Economics and Finance, Elsevier, vol. 80(C), pages 693-720.
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    More about this item

    Keywords

    transmission mechanism of monetary policy; bank lending channel.;

    JEL classification:

    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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