The multi-regime bank lending channel and the effectiveness of the Polish monetary policy transmission during transition

Kierzenkowski, Rafał

doi:10.1016/j.jce.2004.09.001

Cited by 23 publications

(13 citation statements)

References 18 publications

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“…Second, splitting the sample into periods of monetary expansion and contraction, as in Kishan and Opiela (2006) for the USA, would enable us to analyse the asymmetric effects of monetary policy on bank lending behaviour. This may also enable us to investigate the multi-regime bank lending channel highlighted by Kierzenkowski (2005). But such an econometric exercise requires long time-series in order to identify a large number of different policy regimes, each with sufficient number of observations.…”

Section: Discussionmentioning

confidence: 99%

The bank lending channel and monetary transmission in Central and Eastern European countries

Matoušek

Sarantis

2009

Journal of Comparative Economics

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Section: Discussionmentioning

confidence: 99%

The bank lending channel and monetary transmission in Central and Eastern European countries

Matoušek

Sarantis

2009

Journal of Comparative Economics

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“…In Hungary and Poland, increases in credit aggregates following a monetary tightening are usually explained by the permanent excess in banking sector liquidity over the last decade (Kierzenkowski, 2004;OECD, 2002). This excess in liquidity (defined as the net indebtedness of the central bank towards commercial banks) has been the result of strong capital inflows in the context of relatively fixed exchange rate policies until the late 1990s, leading to large sterilization operations by central banks.…”

Section: The Variant Varsmentioning

confidence: 99%

“…This excess in liquidity (defined as the net indebtedness of the central bank towards commercial banks) has been the result of strong capital inflows in the context of relatively fixed exchange rate policies until the late 1990s, leading to large sterilization operations by central banks. According to Kierzenkowski (2004), the consequence of excess liquidity for the MPT mechanism is that banks became less reactive to policy measures. The policy rate (e.g.…”

Section: The Variant Varsmentioning

confidence: 99%

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Monetary Policy Transmission Mechanisms in the CEECs: How Important are the Differences with the Euro Area?

Creel

Levasseur²

2005

SSRN Journal

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We use a structural VAR model with short-term restrictions to investigate the relative importance of interest rate, exchange rate and credit channels in the monetary policy transmission (MPT) for the Czech Republic, Hungary and Poland over 1993:1-2004:3. Main results are as follows. First, in the three countries, following a positive shock on the interest rate, prices increase instead of decreasing, due to the immediate depreciation of the nominal exchange rate. The results thus exhibit an "exchange rate" puzzle conducing to the appearance of a "price-puzzle". Second, none channel is very powerful for the MPT in the three countries. Nevertheless, the exchange rate and the interest rate channels play a growing role over the recent period in Poland, compared with the same channels in the Czech Republic and Hungary. As nominal exchange rate fluctuations allow for greater real shocks dampening in Poland, the cost of entering EMU may be more costly for this country than for the Czech Republic or Hungary. * We are grateful to Benoît Usciati for his able research assistance. The usual disclaimer applies.

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“…Kierzenkowski (2005aKierzenkowski ( , 2005b has recently shown that relaxing, in particular, hypothesis (2) implies that the bank lending channel need not automatically lead to an amplification in this framework and can, importantly, also cause attenuation.…”

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Monetary Transmission Mechanism in Central and Eastern Europe: Surveying the Surveyable

Égert

MacDonald

2008

OECD Economics Department Working Papers

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JT03256604This paper surveys recent advances in empirical studies of the monetary transmission mechanism (MTM), with special attention to Central and Eastern Europe (CEE). Our results indicate that the strength of the exchange rate pass-through substantially declined over time mainly due to a fall in inflation rates and to some extent due to the so-called composition effect. The asset price channel is weak and is likely to remain weak because of shallow stock and private bond markets and because of low stock and bond holdings of domestic household. House prices may become an exception with higher levels mortgage lending and with high owner occupancy ratios. While the credit channel could be a powerful channel of monetary transmission -as new funds raised on capital markets are close to zero in CEE -it is actually not, as both commercial banks and non-financial corporations can escape domestic monetary conditions by borrowing from their foreign mother companies. The moderately good news is, however, that those banks and firms are influenced by monetary policy in the euro area because their parent institutions are themselves subjected to the credit channel in the euro area.JEL classifications: E31; E51; E58; F31; O11; P20. Keywords: Monetary transmission, Central and Eastern Europe, credit channel, interest rate channel, interest-rate pass-through, exchange rate channel, exchange rate pass-through, asset price channel +++++++++++++++++++ Canaux de transmission de la politique monétaire dans les PECO: une revue de la littérature Ce papier vise à synthétiser la littérature empirique portant sur le mécanisme de transmission monétaire, et tout particulièrement dans les pays d'Europe centrale et orientale (PECO). Cette étude montre que l'effet du taux de change sur l'inflation a diminué au cours du temps principalement en raison de la baisse des taux d'inflation, mais aussi dans une certaine mesure suite à un effet dit de composition. Le canal des prix d'actifs est faible et le restera probablement en raison des marchés d'actions et de titres obligataires privés peu développés, mais aussi à cause d'un faible taux de détention d'actifs financiers par les ménages. En revanche, avec l'accroissement du nombre de prêts immobiliers et de ménages propriétaires de leur appartements, les prix immobiliers peuvent jouer un rôle plus important à l'avenir. Même si le canal du crédit devrait être un des canaux de transmission les plus puissants, sachant que le financement externe sur les marchés est quasiment nul dans les PECO, tel n'est pas le cas pour autant. La raison en est que les banques commerciales mais aussi les entreprises peuvent échapper aux conditions monétaires nationales par le biais de financements obtenus auprès de leurs maisons mères implantées à l'étranger. La nouvelle quelque peu encourageante est que les entreprises mères sont elles-mêmes contraintes par la politique monétaire de la zone euro, exportant ainsi les effets du canal du crédit dans les PECO.JEL classifications : E31; E51; E58; F31; O11; P20. Mots-clé...

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The multi-regime bank lending channel and the effectiveness of the Polish monetary policy transmission during transition

Cited by 23 publications

References 18 publications

The bank lending channel and monetary transmission in Central and Eastern European countries

The bank lending channel and monetary transmission in Central and Eastern European countries

Monetary Policy Transmission Mechanisms in the CEECs: How Important are the Differences with the Euro Area?

Monetary Transmission Mechanism in Central and Eastern Europe: Surveying the Surveyable

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