Bank lending channel of monetary policy: dynamic panel data evidence from Malaysia
This paper aims to investigate the relevance of bank-lending channel (BLC) of monetary policy in a small-open economy, i.e. Malaysia by using disaggregated bank-level data set. A dynamic panel data method namely GMM framework proposed by Arellano and Bond (1991), Arellano and Bover (1995), and Blundell and Bond (1998) have been used in estimating the dynamic of banks’ loan supply function. The empirical evidence has stated that monetary policy shocks is significantly and negatively influenced the banks’ loan supply, and therefore has supported the existence of BLC in Malaysia. In addition, several bank-characteristics variables namely bank liquidity and bank capitalization (capital adequacy ratio) are also statistically significant in influencing the banks’ loan supply. Therefore, the implementation of monetary policy is effective in influencing economic activity via bank balance sheet position, in particular bank loans.
|Date of creation:||10 Sep 2010|
|Date of revision:|
|Contact details of provider:|| Postal: Ludwigstraße 33, D-80539 Munich, Germany|
Web page: https://mpra.ub.uni-muenchen.de
More information through EDIRC
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.:
- César Calderón & Alberto Chong & Norman Loayza, 1999.
"Determinants of Current Account Deficits in Developing Countries,"
Working Papers Central Bank of Chile
51, Central Bank of Chile.
- Calderon Cesar Augusto & Chong Alberto & Loayza Norman V., 2002. "Determinants of Current Account Deficits in Developing Countries," The B.E. Journal of Macroeconomics, De Gruyter, vol. 2(1), pages 1-33, March.
- Calderon, Cesar & Chong, Alberto & Loayza, Norman, 2000. "Determinants of current account deficits in developing countries," Policy Research Working Paper Series 2398, The World Bank.
- Blundell, R. & Bond, S., 1995.
"Initial Conditions and Moment Restrictions in Dynamic Panel Data Models,"
104, Economics Group, Nuffield College, University of Oxford.
- Blundell, Richard & Bond, Stephen, 1998. "Initial conditions and moment restrictions in dynamic panel data models," Journal of Econometrics, Elsevier, vol. 87(1), pages 115-143, August.
- Richard Blundell & Steve Bond, 1995. "Initial conditions and moment restrictions in dynamic panel data models," IFS Working Papers W95/17, Institute for Fiscal Studies.
- R Blundell & Steven Bond, . "Initial conditions and moment restrictions in dynamic panel data model," Economics Papers W14&104., Economics Group, Nuffield College, University of Oxford.
- Kashyap, Anil K. & Stein, Jeremy C., 1995.
"The impact of monetary policy on bank balance sheets,"
Carnegie-Rochester Conference Series on Public Policy,
Elsevier, vol. 42(1), pages 151-195, June.
- Anil K Kashyap & Jeremy C. Stein, 1994. "The Impact of Monetary Policy on Bank Balance Sheets," NBER Working Papers 4821, National Bureau of Economic Research, Inc.
- Topi, Jukka & Vilmunen, Jouko, 2001. "Transmission of monetary policy shocks in Finland: evidence from bank level data on loans," Working Paper Series 0100, European Central Bank.
- Ehrmann, Michael & Gambacorta, Leonardo & Martinéz Pagés, Jorge & Sevestre, Patrick & Worms, Andreas, 2001.
"Financial systems and the role of banks in monetary policy transmission in the euro area,"
Working Paper Series
0105, European Central Bank.
- Sevestre, Patrick & Martinez-Pages, Jorge & Gambacorta, Leonardo & Ehrmann, Michael & Worms, Andreas, 2001. "Financial systems and the role of banks in monetary policy transmission in the euro area," Discussion Paper Series 1: Economic Studies 2001,18, Deutsche Bundesbank, Research Centre.
- Michael Ehrmann & Leonardo Gambacorta & Jorge Martï¿½nez-Pagï¿½s & Patrick Sevestre & Andreas Worms, 2001. "Fynancial Systems and the Role of Banks in Monetary Policy Transmission in the Euro area," Temi di discussione (Economic working papers) 432, Bank of Italy, Economic Research and International Relations Area.
- 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," Working Papers 0118, Banco de España;Working Papers Homepage.
- Ashcraft, Adam B., 2006.
"New Evidence on the Lending Channel,"
Journal of Money, Credit and Banking,
Blackwell Publishing, vol. 38(3), pages 751-775, April.
- Balázs Égert & Ronald MacDonald, 2009.
"Monetary Transmission Mechanism In Central And Eastern Europe: Surveying The Surveyable,"
Journal of Economic Surveys,
Wiley Blackwell, vol. 23(2), pages 277-327, 04.
- Balázs Égert & Ronald MacDonald, 2008. "Monetary Transmission Mechanism in Central and Eastern Europe: Surveying the Surveyable," OECD Economics Department Working Papers 654, OECD Publishing.
- Loupias, C. & Savignac, F. & Sevestre, P., 2002. "Is There a Bank lending Channel in France? Evidence From Bank Panel Data," Working papers 92, Banque de France.
- Nickell, Stephen J, 1981. "Biases in Dynamic Models with Fixed Effects," Econometrica, Econometric Society, vol. 49(6), pages 1417-26, November.
- 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 0104, European Central Bank.
- Huang, Zhangkai, 2003. "Evidence of a bank lending channel in the UK," Journal of Banking & Finance, Elsevier, vol. 27(3), pages 491-510, March.
- Manuel Arellano & Stephen Bond, 1991.
"Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations,"
Review of Economic Studies,
Oxford University Press, vol. 58(2), pages 277-297.
- Tom Doan, . "RATS program to replicate Arellano-Bond 1991 dynamic panel," Statistical Software Components RTZ00169, Boston College Department of Economics.
- Gambacorta, Leonardo, 2005. "Inside the bank lending channel," European Economic Review, Elsevier, vol. 49(7), pages 1737-1759, October.
- L. Wade, 1988. "Review," Public Choice, Springer, vol. 58(1), pages 99-100, July.
- David Roodman, 2006.
"How to Do xtabond2: An Introduction to "Difference" and "System" GMM in Stata,"
103, Center for Global Development.
- David Roodman, 2009. "How to do xtabond2: An introduction to difference and system GMM in Stata," Stata Journal, StataCorp LP, vol. 9(1), pages 86-136, March.
- 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.
- Bernanke, Ben S & Blinder, Alan S, 1992.
"The Federal Funds Rate and the Channels of Monetary Transmission,"
American Economic Review,
American Economic Association, vol. 82(4), pages 901-21, September.
- Ben Bernanke, 1990. "The Federal Funds Rate and the Channels of Monetary Transnission," NBER Working Papers 3487, National Bureau of Economic Research, Inc.
- Ben S. Bernanke & Alan S. Blinder, 1989. "The federal funds rate and the channels of monetary transmission," Working Papers 89-10, Federal Reserve Bank of Philadelphia.
- Ben S. Bernanke & Mark Gertler, 1995.
"Inside the Black Box: The Credit Channel of Monetary Policy Transmission,"
Journal of Economic Perspectives,
American Economic Association, vol. 9(4), pages 27-48, Fall.
- 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.
- Ben S. Bernanke & Mark Gertler, 1995. "Inside the Black Box: The Credit Channel of Monetary Policy Transmission," NBER Working Papers 5146, National Bureau of Economic Research, Inc.
- Farinha, Luísa & Robalo Marques, Carlos, 2001.
"The bank lending channel of monetary policy: identification and estimation using Portuguese micro bank data,"
Working Paper Series
0102, European Central Bank.
- Luísa Farinha & Carlos Robalo Marques, 2002. "The bank lending channel of monetary policy: identification and estimation using Portuguese micro bank data," 10th International Conference on Panel Data, Berlin, July 5-6, 2002 A4-3, International Conferences on Panel Data.
- Simona Mateut, 2005. "Trade Credit and Monetary Policy Transmission," Journal of Economic Surveys, Wiley Blackwell, vol. 19(4), pages 655-670, 09.
- Kazuhiko Hayakawa, 2009. "First Difference or Forward Orthogonal Deviation- Which Transformation Should be Used in Dynamic Panel Data Models?: A Simulation Study," Economics Bulletin, AccessEcon, vol. 29(3), pages 2008-2017.
- Alonso-Borrego, Cesar & Arellano, Manuel, 1999.
"Symmetrically Normalized Instrumental-Variable Estimation Using Panel Data,"
Journal of Business & Economic Statistics,
American Statistical Association, vol. 17(1), pages 36-49, January.
- Alonso-Borrego, César & Arrellano, Manuel, 1996. "Symmetrically normalized instrumental-variable estimation using panel data," UC3M Working papers. Economics 4098, Universidad Carlos III de Madrid. Departamento de Economía.
- M Arellano & O Bover, 1990.
"Another Look at the Instrumental Variable Estimation of Error-Components Models,"
CEP Discussion Papers
dp0007, Centre for Economic Performance, LSE.
- Arellano, Manuel & Bover, Olympia, 1995. "Another look at the instrumental variable estimation of error-components models," Journal of Econometrics, Elsevier, vol. 68(1), pages 29-51, July.
- Frederic S. Mishkin, 1996. "The Channels of Monetary Transmission: Lessons for Monetary Policy," NBER Working Papers 5464, National Bureau of Economic Research, Inc.
- Mohd Zaini Abd Karim & Amy Azhar Mohd Harif & Azira Adziz, 2006. "Monetary Policy and Sectoral Bank Lending in Malaysia," Global Economic Review, Taylor & Francis Journals, vol. 35(3), pages 303-326.
- Mojon, Benoît & Kashyap, Anil K. & Angeloni, Ignazio & Terlizzese, Daniele, 2002. "Monetary Transmission in the Euro Area : Where Do We Stand?," Working Paper Series 0114, European Central Bank.
- Kim-Leng GOH & Chin-Sieng CHONG & Sook-Lu YONG, 2007. "Bank Lending Channel For Monetary Policy Transmission In Malaysia: An Ardl Approach," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 7(2).
When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:26157. 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: (Joachim Winter)
If references are entirely missing, you can add them using this form.