The Monetary Transmission Mechanism: Evidence from Eight Economies in Transition

Abstract

We examine in this paper the importance of banks' behavior in the transmission of the monetary policy to the real economy. Monthly data from eight economies in transition that recently became members of the European Union and the techniques of cointegration and Error Correction models are used, in order to investigate the relationship between intermediation margin spread (IMS, official lending rate minus deposit rate) and industrial production. Given the low development of corporate bond market and the dependence of non-financial agents on banking credits, we find that in many countries the IMS is an important leading indicator of industrial production. However, in countries characterized by credit access constraints (Estonia and Latvia) evidence for the traditional money channel is found. Evidence for both money and credit channels is found in Poland and Hungary. These results imply that a common monetary policy implemented by the European Central Bank may be transmitted in different ways across the new members of the enlarged European Union with different effects on real output in each country.Monetary policy, transmission mechanism, credit channel, VAR/VEC models,

Revisiting of Interest Rate Channel: Nonlinear transmission of Monetary Policy Shocks to the Turkish Economy

“…According to the causality results with Turkey's money supply, industrial production index, interest rates, credit capacity, real exchange rate variables, it is concluded that production is affected by interest rates and inflation is affected by long-term money supply. Papadamou and Oikonomou (2007) study the efficiency of the interest rate channel for 8 countries using interest, inflation and output, and concluded that the interest rate channel is effective in some countries. Moreover, in another study, Papadamou, Sidiropoulos and Spyromitros (2015) examine the role of central bank transparency through the monetary transmission interest channel.…”

Kirgizi̇standa Parasal Aktarim Mekani̇zmasi: Ekonometri̇k Anali̇z

“…Kashyap ve Stein (1995), Bernanke ve Gertler (1995), Peek ve Rosengren (1995), Nenovsky, Hristov (1998) önleyici merkez bankası rejimi altında, Iturriaga (2000), Butzen, Fuss ve Vermeulen (2001), Lown ve Morgan (2002), De Bondt (2002), Chirinko ve Kalckeuth (2003), Agha vd. (2005), Papadamou ve Oikonomou (2007), Drobyshevski vd. (2008, Huseyinov ve Jamilov tarafından (2013)'de yapılan ampirik çalışmalar parasal aktarımın banka kredi kanalının reel ekonomi üzerinde etkili olduğunu desteklemektedir.…”

“…Diğer yandan da Romer ve Romer (1989), Ramey (1993), Hülsewing v.d. (2001), Poddar, Sab ve Khackhatryan (2006, Isakova (2008), Papadamou ve Oikonomou (2007), Örnek (2009) tarafından yapılan çalışmalar bu kanalın etkin olmadığını vurgulamaktadır. Papadamou ve Oikonomou (2007), Estonya, Macaristan, Letonya, Litvanya, Polonya, Çek Cumhuriyeti, Slovakya, Slovenya olmak üzere 8 geçiş ülkelerinden Çek Cumhuriyeti, Macaristan, Polonya, Litvanya ülkelerinde banka kredi kanalının sanayi üretimi etkilemekte olduğunu bulmuşlardır.…”

“…(2001), Poddar, Sab ve Khackhatryan (2006, Isakova (2008), Papadamou ve Oikonomou (2007), Örnek (2009) tarafından yapılan çalışmalar bu kanalın etkin olmadığını vurgulamaktadır. Papadamou ve Oikonomou (2007), Estonya, Macaristan, Letonya, Litvanya, Polonya, Çek Cumhuriyeti, Slovakya, Slovenya olmak üzere 8 geçiş ülkelerinden Çek Cumhuriyeti, Macaristan, Polonya, Litvanya ülkelerinde banka kredi kanalının sanayi üretimi etkilemekte olduğunu bulmuşlardır. Kredi kanalı üzerine yapılan çalışmalara bakıldığında Bernanke ve Gertler (1995) parasal şoklara karşı reel ekonominin vereceği tepkinin kredi kanalıyla çalışmakta olduğunu bulmuşlardır.…”

Interest-rate volatility and volatility spillovers in emerging Europe

“…Gelos and Sahay (2001) use a correlation-based approach to examine financial-market spillovers for ten CEE countries. Papadamou and Oikonomou (2007) investigate monetary transmission in eight transmission economies, focusing on links to real production. Choudhry and Wallace (2008) study interest-rate convergence for the Baltic countries using cointegration methods, including foreign interest rates and inflation in a trivariate model.…”