چند رژیم کانال وام دهی بانک ها و اثر انتقال سیاست پولی لهستانی در طول دوره انتقال
|کد مقاله||سال انتشار||مقاله انگلیسی||ترجمه فارسی||تعداد کلمات|
|25587||2005||24 صفحه PDF||سفارش دهید||9965 کلمه|
Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)
Journal : Journal of Comparative Economics, Volume 33, Issue 1, March 2005, Pages 1–24
In this paper, we examine the consequences of interactions between the bank lending channel and the traditional interest rate and exchange rate channels on the effectiveness of monetary policy transmission in Poland since 1994. Using a dynamic small open-economy model, we show that the bank lending channel may either amplify or attenuate the impact of monetary policy shocks. The direction of change in the spread between a loan rate and a policy rate is a useful indicator of different regimes. Empirically, we find evidence of an attenuation regime from 1996 to 1998 and of a neutral effect of the bank lending channel, on average, after that time. Journal of Comparative Economics33 (1) (2005) 1–24.
Monetary policy actions transmitted through various interrelated transmission channels have a significant impact on real economic activity, at least in the short run, and on inflation. After more than a decade since the beginning of transition, Polish capital markets are still relatively thin compared to international standards and the Polish financial system is dominated by banks. Given these stylized facts, we investigate the role played by the banking sector in the transmission of monetary policy in Poland from 1994 until the beginning of 2002. More specifically, we study the consequences of interactions between the bank lending channel and the traditional interest rate, or money, and exchange rate channels. The difficulties encountered by the authorities in seeking to control credit aggregates indicates that the Polish banking sector plays a key role in the effectiveness of monetary policy actions during the 1990s Polański, 1998. The main conclusion of the seminal model of the bank lending channel by Bernanke and Blinder (1988) is that this transmission channel amplifies monetary policy actions when compared to the traditional interest rate channel. As Bernanke (1993), Kashyap et al. (1993) and Bernanke and Gertler (1995) emphasize, the model predicts that variations in both the spread between loan and bond interest rates and the credit supply summarize the amplifying nature of the bank lending channel. The interest rate spread increases (decreases) and the supply of credit decreases (increases) if monetary policy is restrictive (expansionary). Following Dale and Haldane, 1993 and Dale and Haldane, 1998 and using the model of Bernanke and Blinder (1988), Kierzenkowski (2003) shows that the bank lending channel may either amplify or attenuate the effects of the traditional interest rate channel because the result of systematic amplification of monetary policy impulses is dependent on several specific assumptions made by Bernanke and Blinder (1988).1 This author also establishes that, after a monetary policy shock, the direction of change in the spread between loan and bond interest rates tends to be a good indicator of attenuation and amplification regimes. Following a monetary tightening (expansion), the interest rate spread increases (decreases) in the event of amplification effects and decreases (increases) if monetary policy shocks are attenuated. However, these testable implications are not valid for Poland because the National Bank of Poland (hereafter, NBP) controls the interest rate while the model of Bernanke and Blinder (1988) assumes a base money targeting. In this paper, the impact of an interest rate control within a Bernanke–Blinder framework is examined. We consider a dynamic small open-economy model with sluggish price adjustment, imperfect nominal wage indexation, and capital mobility under two different exchange rate systems, namely, a fixed one with sterilized intervention and a floating one. Within this framework, a multi-regime bank lending channel evolves. Our main objective in Section 2 is to derive the theoretical conditions that are necessary so that the direction of change in the interest rate spread between a loan rate and the central bank's intervention rate is an indicator of the different regimes. In Section 3, we investigate empirically the impact of the bank lending channel on the potency of monetary policy transmission to the corporate sector during the Polish transition based on testable hypotheses from the model. A detailed analysis of the Polish loan market indicates that the bank lending channel is likely to be an important component of the transmission mechanism. Hence, the pass-through of the headline rate to loan rates is used to examine the bank lending channel. We identify two regimes, the existence of which is supported by the results of empirical studies and also several stylized facts. Finally, dynamic simulations of the model provide further insight into the transmission of monetary policy impulses. Section 4 concludes with policy implications.
نتیجه گیری انگلیسی
In this paper, we develop a dynamic small open-economy credit-augmented model under two different exchange rate systems, namely, a fixed rate with sterilized intervention and a pure floating rate. In both exchange rate arrangements, the bank lending channel may either amplify or attenuate the action of the traditional interest rate and exchange rate channels. For a given exchange rate system, the effectiveness of monetary transmission depends mainly upon the agents' behavior in the loan market. The main issue is whether policymakers have an indicator that enables them to detect which bank lending channel regime is operating. At stake is the potency of monetary policy transmission and, ultimately, the appropriate setting of monetary conditions to achieve macroeconomic objectives. Our main result is that the pass-through of policy-controlled interest rates to loan rates contains useful information for the monetary authorities. The result requires the existence of a positive relationship between loan rates and the policy rate, but this is a highly probable outcome. However, following a monetary policy impulse, the direction of change in the interest rate spread in the adjustment path may not reflect continuously the effectiveness of monetary policy impulses. Yet, the theoretical analysis indicates that these ambiguities vanish once the economy reaches or remains in a steady-state equilibrium. In a steady-state equilibrium, if the pass-through of policy-controlled interest rates to loan rates is less (more) than one, the impact of monetary policy impulses on the economy is reduced (increased). Therefore, the bank lending channel will weaken (strengthen) the functioning of the classic interest rate and exchange rate channels. As a result, to detect the prevalent bank lending channel regime, the monetary authorities should monitor the medium-term response of loan rates to changes in the policy rate, regardless of the exchange rate system. Empirically, we investigate the interactions between the commercial banking sector and the monetary authorities in the transmission of monetary policy during the Polish transition to shed light on short-term bank lending to firms. Under the conditions for the operation of a bank lending channel, the interest rate spread is the appropriate indicator of different regimes. The evidence indicates a substantially reduced pass-through of the policy rate to loan rates between the beginning of 1996 and the end of 1998, and a stronger pass-through close to unity after that time. The first period is an attenuation regime, while the second one corresponds to a neutrality regime on average. That the timing coincides with the adoption of a floating exchange rate system in Poland is striking and may be the fundamental result. Dynamic simulations of the model with parameter values set identical for both exchange rate systems reinforce this finding. Additionally, the simulations indicate an overall strengthening of the transmission mechanism once the exchange rate was allowed to float more freely. For further research on the transmission mechanism in Poland, a precise estimation of the parameters related to the loan market might corroborate the robustness of these results.