مفاهیم بخش خانگی و سیاست پولی. مدارک و شواهد از کشورهای اروپای مرکزی و شرقی

Amid recent financial crisis, has increased the risks related to the sustainability of the households’ banking loans. The purpose of this paper is to analyze the bi-dimensional causality relationship between household sector and monetary policy in the experience of acceding countries Bulgaria, Czech Republic, Latvia, Lithuania, Hungary, Romania between 2007M01-2012M04. Using a Vector Autoregressive Model, we analyze the impact of short term interest rate on loan to deposit ratio for households. Our empirical results suggest that the excessive built-up of financial imbalances related to the households behavior is properly taken into consideration by monetary policy only in Czech Republic, Hungary, Poland and Romania.

The share of household loans in total bank loans has increased significantly during recent years. From the monetary policy standpoint, a reduction in the policy rate could lead to an unsustainable increase in debt, thereby raising the risk of undershooting the target inflation rate in the future Subhaij, 2009. Santoso and Sukada, 2008 states that there are a lot of channels by which monetary policy influences households sector: interest rate channel, credit channel, exchange rate channel and wealth channel. In this paper, we focusexclusively on interest rate channel, because higher indebtedness, as we can observe in last decades, increase r to changes in interest rates. Using a Vector Autoregressive VAR approach, we analyze the impact of monetary policy on loan to deposit ratio for households in the experience of acceding countries between 2007M01-2012M04. The remainder is organized as follows. The next section briefly surveys the major contributions of the literature review. Section 3 lays out the data and the methodology used. Section 4 evaluates the empirical results. Section 5 brings the main conclusions and future research.

In this paper we have disentangled the bi-dimensional causality relationship between household sector and monetary policy in the experience of several Central and Eastern European countries between 2007M01- 2012M04, using a VAR model in the case of Bulgaria, Czech Republic, Latvia, Lithuania and Romania and, respectively, a VECM in the case of Hungary and Poland. Our empirical estimation highlights that a monetary policy shock drives loan to deposit ratio down in Czech Republic, Hungary, Poland and Romania, but for Hungary the results are statistically insignificant. In Bulgaria and Lithuania, an increase in LIBOR EUR 3 months interest rate leads to an increase in loan to deposit ratio after, roughly, one year, but the results are statistically significant only in the case of Bulgaria. Moreover, our empirical suggest that there is a positive causality between loan to deposit ratio for households and short term interest rate. But, only in slightly more than half of the countries do we find the effect of loan to deposit ration on money market interest rate to be statistically significant. Future research is called for. A first development is to exploit the large cross section dimension of our country sample and repeat the impulse response analysis based on fixed effects panel VAR as in Goodhart et al., 2007. A second development should take into consideration more variables such as economic growth and inflation in order to capture a stylized model of monetary policy implication on household sector.