نقش بانک ها در انتقال سیاست پولی در کشورهای جدید عضو اتحادیه اروپا
|کد مقاله||سال انتشار||مقاله انگلیسی||ترجمه فارسی||تعداد کلمات|
|26850||2009||16 صفحه PDF||سفارش دهید||محاسبه نشده|
Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)
Journal : Economic Systems, Volume 33, Issue 4, December 2009, Pages 360–375
This paper aims to enrich the knowledge on the monetary policy transmission mechanism in the new European Union member states with empirical evidence on the impact of monetary policy on bank lending. This work is based on individual bank balance sheet data and covers a sample of commercial banks from 10 Central and Eastern European countries over the period 1998–2006. We follow the approach suggested by Kashyap and Stein (1995) and control for cross-section heterogeneities among banks. The results indicate the existence of asymmetric adjustment of loan quantities with respect to specific bank characteristics. Our findings indicate the existence of a functioning bank-lending channel through small banks. This applies in the short-run to several, but not all, of the analysed banks.
A correct assessment of the monetary transmission mechanism is crucial for understanding and forecasting the effects of the monetary conditions on the real economy. The analysis of the differences in monetary transmission mechanisms is very important in Central and Eastern European countries (CEECs) both in the context of their forthcoming full euro-area participation (e.g. Slovenia and Slovak Republic—members of the euro area since 2007 and 2009, respectively) and in that of the existing gap in the development of their financial sectors, relative to the euro area. The banking sectors of these countries have undergone massive transformations over the last two decades marked by numerous bank failures and the accumulation of huge amounts of non-performing loans (in the early phase of economic transition). They have witnessed, at the same time, the privatisation of a large number of state-owned banks which contributed to an increased efficiency in their banking sectors (Bonin and Wachtel, 2002 and Weill, 2003). Nevertheless, these countries continue to be characterised by a bank-based financial system with no viable alternatives to bank loans as sources of financing (“transition countries are over banked, but under serviced”) (Hainz, 2004). Therefore, the analysis of the bank-lending channels is more than pertinent. Moreover, the enlargement of the monetary union is thought to have increased the heterogeneity in financial structures in the euro area, and the monetary policy decisions of the European Central Bank (ECB) are likely to have had a different impact across countries.1 We focus on two questions: (1) what is the role of banks (i.e. bank loans) in the monetary transmission mechanism in the new EU countries, and (2) are there differences in this respect? The large majority of studies in this area focus on interest and exchange rate channels and little attention is paid to the bank-lending channel. The explanation is that the financial innovation of the recent past calls into question the importance of the bank-lending channel due to the diminished role played by the banks in the credit markets. This aspect is pertinent to the developed economies, but it does not apply to our sample of countries whose financial systems continue to be mainly bank-based where borrowers do not have viable alternatives to bank loans as sources of financing.2 In this paper we use a panel of individual bank-level data sets. We expect to get more precise estimates by using cross-sectional information from the data sets, thus allowing for better inference on differences across banks. To our knowledge, a similar analysis for this sample of countries does not yet exist. This paper complements similar analyses (Wróbel and Pawlowska, 2002, Juks, 2004, Pruteanu, 2004, Havrylchyk and Jurzyk, 2005 and Horváth et al., 2006) to provide a complete picture of the role of banks in the monetary policy transmission mechanism in the new EU countries. Our central aim is to identify the reaction of loan supply to monetary policy actions. In particular, we investigate the existence of asymmetries in the behaviour of banks in the aftermath of a monetary policy change. The analysis follows an approach similar to Kashyap and Stein (1995). According to their methodology, smaller/poorly capitalised/low liquidity banks react strongly to monetary policy changes, i.e. their lending activity is more sensitive compared to the larger banks. We use disaggregated bank-level data on Central and Eastern Europe commercial banks over the period 1998–2006. A preliminary analysis on the whole sample of banks does not yield robust results. The period of analysis is relatively short and there might be a problem with the heterogeneity of our sample of commercial banks. To overcome these difficulties, the banks were separated into three groups according to their intermediation (loans to deposits) ratio. The analysis is then performed for each group, in order to identify the potential differences in banks’ behaviour, inside each group, following a monetary policy tightening move. The results indicate some evidence for the existence, in the short-run of a bank-lending channel for banks with a moderate loans to deposits (L/D) ratio. Nevertheless, this conclusion cannot be generalized for the entire sample of banks. This paper makes several contributions to the empirical literature. First of all, the analysis covers ten countries from Central and Eastern Europe, whereas most previous research consists of country-level studies. Secondly, we control for cross-section heterogeneities and thus the results are consistent with those from previous studies. In the short-run, for banks with a moderate L/D ratio, the size affects the lending activity following a monetary policy change, with small banks being more affected. It is important to note that liquidity is of an opposite sign to that of its coefficient. The explanation is that an endogenous response from smaller banks is triggered as a counterbalance to their financing difficulties arising from higher asymmetric information problems. This results in higher liquidity and capitalisation ratios for such banks. The remainder of the paper is organised as follows. Section 2 presents a short review of the lending channel debate, both in general and in the context of transition economies. In Section 3 there is a description of the econometric model and the data. Section 4 presents the empirical results. The last section summarises the main conclusions.
نتیجه گیری انگلیسی
This paper investigates the existence and functioning of the bank lending channel in the new EU member states, over the period 1998–2006. The commercial banks of these countries are divided into three groups according to their L/D ratio. Through an aggregate and a group level analysis, we examine whether: (i) monetary conditions impact on bank lending; (ii) there are linear relationships between some particular bank characteristics (size, liquidity and capitalisation) and the growth rate of total loans to clients. We also investigate the effectiveness of the credit channel, by looking at whether there are distributional effects due to the bank’s characteristics in the impact of monetary policy on bank lending. Our analysis focuses on the fluctuations in total loans to clients over the period 1998–2006. We find some significant linear effects of all bank characteristics on the growth rate of loans to clients. Large banks enjoy higher loan growth rates. With regard to the distributive effects of monetary policy on the growth rate of loans due to such bank characteristics, the results are as follows: • ‘Size’ influences the growth rate of total loans in the aftermath of a monetary policy change, in the short-run, in the case of banks with a moderate L/D ratio. The coefficient of the variable ‘size’ interacted with the monetary policy indicator is positive and significant, confirming the theory that smaller banks are more affected by a monetary policy tightening. • For ‘liquidity’, the estimations indicate a negative and significant coefficient for banks from the second group, showing that liquid banks are more strongly affected by monetary policy tightening. This counterintuitive result can be explained by the higher liquidity of the banks in this group. • With regard to ‘capitalisation’, the estimation results show a non-significant coefficient in the three groups of banks, both in the short and the long-run. We seek to explain the counterintuitive findings, showing that in the second group, smaller banks tend to have higher liquidity and capitalisation ratios than large banks. This is to counterbalance their difficulties in financing which result from higher asymmetric information problems. According to these findings, we cannot assert the existence of a bank-lending channel in the entire sample of banks but only for those having a moderate L/D ratio. It is important to stress that our sample is relatively small (it contains 9 years of annual data). This can make the statistical relationships harder to detect. We do not expect the bank dependency of borrowers to decline as the analysed economies integrate more and converge towards their Western European counterparts. The continuous diminishment of excess liquidity in the banking systems and the falling capitalisation, due to increased efficiency, enable a possible strengthening of the bank-lending channel in the future, in the CEECs. We will attempt to undertake a similar analysis for the euro-area commercial banks. This will give us an insight into the differences and similarities in the functioning of the bank-lending channel in the “old” and the “new” EU members.