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This study aims to estimate the system of bank credit demand and supply in Brazil. Understanding how the balance is established in this market is the key to know the importance of the credit channel. Based on the aggregated data from June 2000 to August 2012 not only for firms but also for individuals we founded the following results. First, credit demand is pro-cyclical, reacting negatively to the unemployment and positively to GDP. Second, the price elasticity of demand for firms is higher for firms than for individuals, corroborating the fact that companies may have other sources of funding. Thirdly, it was not possible to determine the bank credit supply to individuals. This fact seems to indicate that there is no reverse causality in the personnel credit in the sense that, for this segment, the credit demand has no effect on the loan rate. Fourth, we observe the expected signs into default, the cost of funding and inflation in credit supply function in both segments. Finally, it appears that the introduction of payroll loans on personnel credit brought down the cost of the loan.

We combine existing balance sheet and stock market data with two new datasets to study whether, how much, and why bank lending to firms matters for the transmission of monetary policy. The first new dataset enables us to quantify the bank dependence of firms precisely, as the ratio of bank debt to total assets. We show that a two standard deviation increase in the bank dependence of a firm makes its stock price about 25 percent more responsive to monetary policy shocks. We explore the channels through which this effect occurs, and find that the stock prices of bank-dependent firms that borrow from financially weaker banks display a stronger sensitivity to monetary policy shocks. This finding is consistent with the bank lending channel, a theory that posits that the strength of bank balance sheets matters for monetary policy transmission. We construct a new database of hedging activities and show that the stock prices of bank-dependent firms that hedge against interest rate risk display a lower sensitivity to monetary policy shocks. This finding is consistent with an interest rate pass-through channel that operates via the direct transmission of policy rates to lending rates associated with the widespread use of floating rates in bank loans and credit line agreements.

This paper focuses on the role the bank lending channel in transmission of monetary policy in China. Using unbalanced quarterly panel data from 2Q2000 to 4Q2011, a one-step GMM estimator is applied to establish the existence the bank lending channel. The findings suggest central bank monetary policy asymmetrically affects bank lending behavior. Small banks are found more sensitive to contractionary monetary policy in the Chinese context. Well capitalized banks appear to be more likely to adjust their lending behaviors in response to expansionary monetary policy, and conversely, undercapitalized banks tend to adjust with the advent of contractionary monetary policy. The importance of the bank lending channel declines after China introduced stricter capital regulations in early 2004, but the effect is still apparent in times of expansionary policy.

This paper develops an analytically tractable dynamic general-equilibrium model with a banking system to examine the macroeconomic implications of capital adequacy requirements. In contrast to the hypothesis of a credit crunch, we find that increasing the strength of bank capital requirements does not necessarily reduce the equilibrium quantity of loans, provided that banks have the option to respond to the capital requirements by accumulating more equity instead of cutting back on lending. Accordingly, we show that there is an inverted-U-shaped relationship between CAR and capital accumulation (and consumption). Furthermore, the optimal capital adequacy ratio for social-welfare maximization is lower than that for capital-accumulation maximization. In accordance with general empirical findings, the capital-accumulation maximizing capital adequacy ratio is procyclical with respect to economic conditions. We also find that monetary policy affects the real macroeconomic activities via the so-called bank lending channel, but the effectiveness of monetary policy is weakened by bank capital requirements.

This paper studies the role of banking sector in monetary policy transmission in Turkey covering the period 1988-2009. Specifically, we investigate the impact of monetary policy changes on banks’ lending behavior. Given the changes in the policy stance and developments in the financial system following the implementation of structural reforms in the aftermath of the 2000-01 crisis, the analysis is further conducted for the two sub-periods: 1988-2001 and 2002-2009, to examine whether there is a change in the functioning of the credit channel. Based on bank-level data, empirical evidence suggests cross sectional heterogeneity in banks’ response to monetary policy changes during 1988-2009. Regarding the results of the pre-crisis and post-crisis periods, we find that an operative bank lending channel existed in 1988-2001, however its impact became much stronger thereafter. Furthermore, there are significant differences in the distributional effects due to bank specific characteristics in the impact of monetary policy on credit supply between the two sub-periods. While the results indicate an operative bank lending channel due to earnings capability and asset quality in the first period, size, liquidity, capitalization, asset quality and managerial efficiency seem to make a difference in the lending responses of banks to monetary policy in 2002-2009.

This paper investigates the bank lending channel of monetary transmission in Serbia. We collect individual bank balance sheet data for 33 banks over the period 2008Q3-2011Q2 and employ dynamic panel estimation techniques. Two different bank loan supply functions are investigated according to the currency denomination of bank loans in Serbia. Our findings indicate that there is a significant bank lending channel through the domestic and foreign reference interest rates in the growth of domestic currency loans. In the case of foreign currency loans, there is no statistical evidence for the existence of a bank lending channel which may be related to the prevalence of long-term loans in total foreign currency loans and relatively short sample size.

This thesis studies various ways in which the financial sector may affect the real economy. Particular attention is devoted to the bank lending channel of monetary transmission which amplifies monetary policy through changes in the supply of bank loans. We analyze the theoretical foundations of this channel, review international empirical literature and identify characteristic features of Czech financial system. Due to the important role of bank loans in the Czech Republic and the limited availability of alternative sources of finance, we hypothesize that the channel should be operative in the Czech Republic. Using a VEC model we analyze aggregate data for 2001-2011. Impulse response functions are then used to identify responses of the lending rate and the amount of loans to a monetary shock. Based on these responses we conclude the bank lending channel was operative.

Banking crises involve periods of persistently low credit and economic growth. Banks’ balance sheets are then weak but so are those of non-financial corporate borrowers. Hence, a crucial question is whether credit growth is low due to supply or to demand factors. However convincing identification has been elusive due to a lack of detailed loan application-, bank-, and firm-level data. Access to a dataset of loan applications in Spain that is matched with complete bank and firm balance-sheet data covering the period from 2002 to 2010 allows us to identify bank and firm balancesheet channels. We find robust evidence showing that bank balance-sheet strength determines the success of loan applications and the granting of loans in crisis times. The heterogeneity in firm balance-sheet strength determines loan granting in both good and crisis times, although the potency of this firm balance-sheet channel is the largest in the latter period. Our findings therefore hold important implications for both theory and policy.

Banking crises involve periods of persistently low credit and economic growth. Banks’ balance sheets are then weak but so are those of non-financial corporate borrowers. Hence, a crucial question is whether credit growth is low due to supply or to demand factors. However convincing identification has been elusive due to a lack of detailed loan application-, bank-, and firm-level data. Access to a dataset of loan applications in Spain that is matched with complete bank and firm balance-sheet data covering the period from 2002 to 2010 allows us to identify bank and firm balancesheet channels. We find robust evidence showing that bank balance-sheet strength determines the success of loan applications and the granting of loans in crisis times. The heterogeneity in firm balance-sheet strength determines loan granting in both good and crisis times, although the potency of this firm balance-sheet channel is the largest in the latter period. Our findings therefore hold important implications for both theory and policy.

This paper uses the 2007-2009 financial crisis as a negative liquidity shock on banks to analyze their lending behavior and study the differences between US and euro-area banks. When faced with a negative liquidity shock, US banks transmitted liquidity shocks to the real economy by reducing the amount of their loans whereas euro-area banks did not show any decline in their lending. The main difference between US and euro-area banks is the ability of finding alternative financing. Euro-area banks were able to issue short-term debt whereas US banks seemed unable to do so. Financing frictions prevented US banks from finding alternative financing which led to a decline in their loan supply. This difference in their access to alternative financing sources could be explained by the different monetary policy responses. Overall, this paper concludes that differences in the monetary policy responses of the Federal Reserve in the US and the ECB in the euro area has led to differences in the transmission of liquidity shocks to the real economy.

Banking crises involve periods of persistently low credit and economic growth. Banks’ balance sheets are then weak but so are those of non-financial corporate borrowers. Hence, a crucial question is whether credit growth is low due to supply or to demand factors. However convincing identification has been elusive due to a lack of detailed loan application-, bank-, and firm-level data. Access to a dataset of loan applications in Spain that is matched with complete bank and firm balance-sheet data covering the period from 2002 to 2010 allows us to identify bank and firm balancesheet channels. We find robust evidence showing that bank balance-sheet strength determines the success of loan applications and the granting of loans in crisis times. The heterogeneity in firm balance-sheet strength determines loan granting in both good and crisis times, although the potency of this firm balance-sheet channel is the largest in the latter period. Our findings therefore hold important implications for both theory and policy.

Derivation and Estimation of a New Keynesian Phillips Curve in a Small Open Economy This paper explores how well Swedish inflation is explained by a New Keynesian Phillips Curve. As the real driving variable in the Phillips Curve, a measure of firms' real marginal cost is compared to the traditional output gap. The results show that, with real marginal cost in the Phillips Curve equation, the point estimates generally have the expected positive sign, which is less frequently the case with the output gap. However, with both real marginal cost and the output gap, it is difficult to pin down a statistically significant relationship with inflation. Firm-Level Evidence of Shifts in the Supply of Credit This paper examines empirically whether firms are subject to shifts in credit supply over the business cycle. Shifts in the supply of credit are identified by exploring how firms substitute between commitment credit -- lines of credit -- and non-commitment credit. The results show that firms on average rely more on commitment credits when monetary policy is tight and when the financial health of banks is weaker. The results are consistent with a bank lending channel of monetary policy and with shifts in the supply of credit following deteriorations in banks' balance sheets. Lines of Credit and Investment: Firm-Level Evidence of Real Effects of the Financial Crisis This paper studies how the 2008 financial crisis affected corporate investment in Sweden through its effect on credit availability. The approach is to compare investments of firms before and after the onset of the crisis as a function of their ex ante sensitivity to a credit supply shock, controlling for fundamental determinants of investments. Sensitivity to a credit supply shock is measured as credit reserves, defined as unused credit on lines of credit. The results indicate that the decline in investment following the crisis was not exacerbated by a contraction in the supply of credit.

Banking crises involve periods of persistently low credit and economic growth. Banks’ balance sheets are then weak but so are those of non-financial corporate borrowers. Hence, a crucial question is whether credit growth is low due to supply or to demand factors. However convincing identification has been elusive due to a lack of detailed loan application-, bank-, and firm-level data. Access to a dataset of loan applications in Spain that is matched with complete bank and firm balance-sheet data covering the period from 2002 to 2010 allows us to identify bank and firm balancesheet channels. We find robust evidence showing that bank balance-sheet strength determines the success of loan applications and the granting of loans in crisis times. The heterogeneity in firm balance-sheet strength determines loan granting in both good and crisis times, although the potency of this firm balance-sheet channel is the largest in the latter period. Our findings therefore hold important implications for both theory and policy.

Banking crises involve periods of persistently low credit and economic growth. Banks’ balance sheets are then weak but so are those of non-financial corporate borrowers. Hence, a crucial question is whether credit growth is low due to supply or to demand factors. However convincing identification has been elusive due to a lack of detailed loan application-, bank-, and firm-level data. Access to a dataset of loan applications in Spain that is matched with complete bank and firm balance-sheet data covering the period from 2002 to 2010 allows us to identify bank and firm balancesheet channels. We find robust evidence showing that bank balance-sheet strength determines the success of loan applications and the granting of loans in crisis times. The heterogeneity in firm balance-sheet strength determines loan granting in both good and crisis times, although the potency of this firm balance-sheet channel is the largest in the latter period. Our findings therefore hold important implications for both theory and policy.

This paper tries to shed light on the existence of a bank lending channel (BLC) in South Eastern European countries (SEE). Based on a VAR framework we test the responsiveness of credit supply to monetary policy shocks. By compiling a new data set and using the reserve requirement ratio, among others, as the policy instrument we measure the effectiveness of the BLC and the buffering effect of the banks in the SEE countries. The results indicate that loan supply is significantly affected by shifts in monetary policy, when demand factors are controlled. Furthermore, by analyzing the effect of the Greek banks in the region we conclude that Greek banks do buffer the negative effects of monetary policy transmission. 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We study how small firms manage cash flows by estimating cash flow sensitivities for all sources and uses of cash. Our data are Norwegian non-listed firms which can be matched to the banks they borrow from. Firms with low cash holdings mainly use external finance to offset cash flow fluctuations over the cycle, whereas firms with high cash holdings rely mainly on internal finance. Estimating how cash flow sensitivities change with exogenous bank shocks, we find that the cyclicality of cash-poor firms' investment is amplified because they do not substitute internal for external finance. Our results imply that for small firms, the transmission of financial shocks to the real economy is closely tied to their accumulation of cash.

The 2007-2010 financial crisis highlighted the central role of financial intermediaries’ stability in buttressing a smooth transmission of credit to borrowers. While results from the years prior to the crisis often cast doubts on the strength of the bank lending channel, recent evidence shows that bank-specific characteristics can have a large impact on the provision of credit. We show that new factors, such as changes in banks’ business models and market funding patterns, had modified the monetary transmission mechanism in Europe and in the US prior to the crisis, and demonstrate the existence of structural changes during the period of financial crisis. Banks with weaker core capital positions, greater dependence on market funding and on non-interest sources of income restricted the loan supply more strongly during the crisis period. These findings support the Basel III focus on banks’ core capital and on funding liquidity risks. They also call for a more forwardlooking approach to the statistical data coverage of the banking sector by central banks. In particular, there should be a stronger focus on monitoring those financial factors that are likely to influence the functioning of the monetary transmission mechanism particularly in a period of crisis.

U ovom se radu empirijski istražuje postojanje kreditnog kanala i njegovih odrednica u Republici Makedoniji. Rezultati istraživanja ukazuju na njegovo postojanje. Najutjecajnija bankovna značajka je udio nenaplativih kredita u ukupnim kreditima koji bi mogao aproksimirati preferencije banaka prema riziku. To bi značilo da su preferencije banaka prema riziku među najutjecajnijim faktorima određivanja kreditnih aktivnosti banaka. Međutim, drugačija interpretacija udjela nenaplativih kredita sugerira da bi on mogao biti pokazatelj ex-post kvalitete kreditnog portfelja te stoga može ukazivati na porast bankovne premije na eksterno financiranje. Vezano uz ostale bankovne značajke, rezultati empirijskog istraživanja pokazuju da likvidnost banke ima suprotni predznak od onoga što teorija sugerira te da ne postoje čvrsti dokazi da kapital banke utječe na ponudu kredita jer su rezultati osjetljivi na različite metode ocjene i broj instrumenata. Što se tiče veličine aktive, rezultati ne ukazuju na statistički značajan utjecaj., This paper empirically investigates the existence of a bank lending channel and its determinants in the Republic of Macedonia. The results suggest that there is robust statistical evidence in favour of the existence of a bank lending channel. The most influential bank-specific characteristic is the non-performing loans (NPL) ratio which might be a proxy for banks’ risk preferences. This would imply that banks’ risk preferences are among the most influential factors in determining banks’ lending activities. However, an alternative interpretation of the NPL ratio suggests that it might serve as an indicator of the ex-post quality of the loan portfolio and, hence, may indicate an increase in banks’ external financing premium. Regarding the rest of the bank-specific characteristics, empirical results show that bank liquidity has the opposite sign from what the theory suggests, while there is no strong evidence that bank capital has impact on the loan supply function as the results are sensitive to different estimation methods and the number of instruments created. Regarding the asset size, the results do not imply any statistically significant impact.

We study how non-listed firms trade off financial, real, and distributive uses of cash. We show that firms' marginal value of cash (MVC) affects the mix of external and internal finance used to absorb fluctuations in cash flows; in particular, high-MVC firms employ substantially more external finance on the margin. Linking firms to their main bank, we find that shocks to bank finance affect corporate trade-offs and have real effects in high-MVC firms, making investment more sensitive to firm cash flows. Our analysis suggests that external finance constraints affect the real economy via firms' marginal value of cash.

IS-LM modeline kredi piyasanın dahil edilmesiyle (genişletilmiş IS-LM) ortaya çıkan kredi görüşü çerçevesinde kredi kanalı, banka kredi kanalı ve bilanço kanalı üzerinden işlemektedir. Bankaların kredi piyasasındaki asimetrik bilgi sorunlarının çözümünde uzmanlaşmaları nedeniyle, banka kredi kanalında önemli bir rol oynamaktadırlar. Bununla birlikte, banka kredi kanalı, banka kredileri ile diğer fon kaynakları birbirleriyle tam ikame olmadığı sürece önemlidir. Bilanço kanalında ise, para politikası değişimleri, nakit akımı, net değerlilik ve teminat değerliliğine göre hesaplanan dış finansman primi olarak bilinen iç finansman ve dış finansman arasındaki farkı etkilemektedir.Bu çalışmada, Türkiye'de parasal aktarım mekanizması banka kredi kanalının etkinliği, vektör otoregresif (vector autoregressive, VAR ) yöntemiyle 1990:01-2008:11 dönemi için aylık toplam veriler kullanılarak test edilmektedir. Para politikası değişimlerinin kredi değişkenleri (mevduat bankaları toplam mevduatları, toplam özel sektör kredileri ve toplam kredileri) üzerindeki etkisi, şokların reel sektöre (fiyatlar ve çıktı) aktarımını sağlamaktadır. Türkiye örneğinde; bulgular, gecelik faiz oranının değil, parasal büyüklüklerin (parasal taban ve özellikle M2 para arzı) mevduat bankaları kredi değişkenleri üzerinden reel ekonomiyi etkilediğini göstermektedir. Sonuç olarak, Türkiye'nin finansal yapısına ve etki-tepki fonksiyonları sonucunda elde edilen ampirik bulgulara göre Türkiye'de banka kredi kanalının etkin olduğu söylenebilir.ANAHTAR SÖZCÜKLER: Parasal Aktarım Mekanizması Kanalları, Kredi Kanalı, Banka Kredi Kanalı, Bilanço Kanalı, Kredi Tayınlaması, Kredi Çöküşü, VAR. The credit channel works through the bank lending channel and the balance sheet channel. The credit view analyses this issue by appending credit market to IS/LM model (augmented IS/LM model). In bank lending channel, because of solving asymmetric information problems in credit markets, banks play an important role in the financial system. Also, bank lending channel is important as long as there is no perfect substitutability of bank credits with other sources of funds. In balance sheet channel, changes in the monetary policy affect, a wedge between internal and external finance which is known as external financial premium, measures of cash flow, net worth and the value of collateral.In this study, the efficiency of bank lending channel in the monetary transmission mechanism will be analysed for Turkey by VAR (vector autoregressive) method using monthly aggregate data for the period 1990:01 through 2008:11. Changes in the monetary policy which affect the credit variables (total deposits, total private sector loans and total loans of deposit money banks) will transfer the shocks to the real sectors of economy, i.e. output and prices. In Turkish case, the findings suggest that not overnight interest rate but monetary aggregates (monetary base and especially M2 money supply) seem to play an important role and their shocks are significantly transmitted to real economy (output and price) through credit variables of deposit money banks. In conclusion, Turkish financial system and the empirical evidences which are obtained impulse-response analyses, support the efficiency of a significant bank lending channel in Turkey.KEYWORDS: Monetary Transmission Mechanism Channels, Credit Channel, Bank Lending Channel, Balance Sheet Channel, Credit Rationing, Credit Crunch, VAR. 218

Applying the identification strategy employed by Driscoll (2004) for the United States, this paper provides empirical evidence for the existence of a bank lending channel of monetary policy transmission in the euro area. In addition, and in contrast to recent findings for the US, we find that in the euro area changes in the supply of credit, both in terms of volumes and in terms of credit standards applied on loans to enterprises, have significant effects on real economic activity. This highlights the importance of the monitoring of credit developments in the toolkit of monetary policy and underpins the reasoning behind giving monetary and credit analysis a prominent role in the monetary policy strategy of the ECB. It also points to the potential negative repercussions on real economic growth of bank balance sheet impairments arising in the context of the financial crisis erupting in mid-2007 which led to the need for banks to delever their balance sheets and possibly to reduce their loan supply.

Para aktarım mekanizmasını ve dolayısıyla banka kredileri kanalını oluşturan teorik yapı, para politikalarının ülke üretimine yapacağı etkiler konusunda anlaşılır bir açıklama getirmektedir. Ancak bu etkileri verilerle belirlemek araştırmacılar için bir sorun olmaktadır. Bu tez, iki aşamalı bir ekonometrik yaklaşımla banka kredilerindeki büyüme hassasiyetlerini Türkiye'deki yeni düzenleme ortamında araştırmakta ve para arzındaki daralmalarla banka kredilerinin büyüme hassasiyetleri arasında bir ilişki bulmayı amaçlamaktadır. Tezde incelenen altı alternatif hassasiyet türü vardır: (1) Banka kredi büyümelerinin likiditeye olan hassasiyeti. (2) Banka kredi büyümelerinin nakit akışına olan hassasiyeti. (3) Bankaların mülkiyet türleri kontrol edilerek banka kredi büyümelerinin likiditeye olan hassasiyeti. (4) Büyük bankaların kredi büyümelerinin likiditeye olan hassasiyeti. (5) Küçük bankaların kredi büyümelerinin likiditeye olan hassasiyeti ve (6) Bankaların yabancı bankalar ile ortaklıkları kontrol edilerek banka kredi büyümelerinin likiditeye olan hassasiyeti. Elde edilen sonuçlar, Türkiye'de banka kredi büyümelerinin likidite hassasiyetlerinin para arzındaki şoklarla pozitif bir ilişkisi olduğunu onaylamaktadır. Sonuçlar ayrıca, para arzında daralma olduğu dönemlerde küçük bankaların likiditeye büyük bankalara nazaran daha bağımlı olduğunu göstermektedir. Literatürdeki ampirik bulgulara paralel bulguların yanı sıra, BDDK'nın ve BDDK tarafından getirilen düzenlemelerin etkileri gibi Türkiye bankacılık sistemine özgü özellikler de tezde yer almaktadır. Yapılan testlerin güvenilirlikleri başka ekonometrik modellerle test edilmiştir. Bütün bu sonuçlar ışığında, 1998?2009 dönemi için Türkiye'de banka kredileri kanalının var olduğu bulgusuna rastlanmaktadır. Theoretical framework for monetary transmission mechanism and hence for bank lending channel provides straightforward impacts of monetary policy on aggregate output, however there is a problem of identification for these impacts with aggregate data. Using a two-staged approach, the thesis studies the loan growth sensitivities of banks in the new regulatory system in Turkey and tries to identify a relationship between loan growth sensitivity and monetary tightening. There are six alternative sensitivities tested in the thesis: (1) Liquidity sensitivity of bank loan growth, (2) Income sensitivity of bank loan growth, (3) Liquidity sensitivity of bank loan growth with ownership type of banks controlled, (4) Liquidity sensitivity of large banks? loan growth, (5) Liquidity sensitivity of small banks? loan growth and (6) Liquidity sensitivity of bank loan growth with foreign affiliation of banks controlled. Results confirm that there exists a positive relationship between liquidity sensitivity of loan growth of Turkish banks and monetary policy shocks. Results also show that small banks are more liquidity dependent during contradictionary monetary policy periods than large banks. Besides the results parallel to empirical findings in the literature, characteristics of Turkish banking sector are included in the discussion such as the influence of BRSA on banks and the impacts of its regulations. Robustness of the tests are checked with additional econometric models. Hence, the findings suggest that there are evidences on bank lending channel in Turkey for the period 1998-2009. 81

We study the effect of financial distress in foreign parent banks on local SME financing in 14 central and eastern European countries during the early stages of the 2007-2008 financial crisis. We use survey data on applicant and non-applicant firms that enable us to disentangle effects driven by shocks to the banking system from recession-driven demand shocks that may vary across lenders. We find strong evidence that credit tightened in the relatively early stages of the crises caused by the following types of bank financial distress: 1) low equity ratio; 2) low Tier 1 capital ratio; and 3) losses on financial assets. We also find that foreign banks transmit to Main Street a larger portion of similar financial shocks than domestic banks. The observed decline in credit is greater among high-risk firms and firms with fewer tangible assets.

We find evidence of a bank lending channel for the euro area operating via bank risk. Financial innovation and the new ways to transfer credit risk have tended to diminish the informational content of standard bank balance-sheet indicators. We show that bank risk conditions, as perceived by financial market investors, need to be considered, together with the other indicators (i.e. size, liquidity and capitalization), traditionally used in the bank lending channel literature to assess a bank’s ability and willingness to supply new loans. Using a large sample of European banks, we find that banks characterized by lower expected default frequency are able to offer a larger amount of credit and to better insulate their loan supply from monetary policy changes.

Channels through which monetary policy affects aggregate demand can be divided into three categories: traditional interest rate channel, other asset price channels and credit channel composed of balance sheet channel (named also broad credit channel), bank capital channel and bank lending channel. Banks face troubles in keeping their present or acquiring new financial sources, when central bank tightens its monetary policy. Banks characterized by differences in size, capitalization, liquidity and ownership face different levels of informational asymmetry and are therefore differently affected by changes in monetary policy. If larger, better capitalized, more liquid and/or home owned banks respond weaker to changes in monetary policy it is possible to argue that bank lending channel is effective. This hypothesis is tested on a panel of annual data for individual Slovenian banks using general method of moments. Although evidence of bank lending channel is mixed, results go in a direction where a confi rmation of its existence could be given., Monetarna politika može djelovati na agregatnu potražnju kroz slijedeća tri kanala: kroz tradicionalni kanal kamatnih stopa, kroz cijenu ostale aktive, i putem kreditnog kanala koji se sastoji od bilančnog kanala, kapitalnog kanala i kreditnog kanala banaka. Kada središnja banka uvodi mjere restriktivne monetarne politike, poslovne se banke suočavaju s teškoćama pri očuvanju postojećih i pribavljanju novih financijskih izvora. Budući da u bankarskom sustavu postoje banke različite po svojoj veličini, vlasničkoj strukturi, kapitalizaciji i po stupnju likvidnosti, restriktivna monetarna politika na njih nejednako djeluje zato što među njima postoje različite razine asimetričnosti informacija. Ako su banke veće, bolje kapitalizirane, likvidnije i/ili u domaćem vlasništvu, a slabije reagiraju na promjene u monetarnoj politici središnje banke, moguće je tvrditi da je bankovni kreditni kanal učinkovit. Ta je hipoteza testirana na panelu godišnjih podataka za pojedine slovenske banke pomoću opće metode trenutka. Iako dobiveni rezultati nisu jednoznačni, oni ipak upućuju na postojanje ovoga kanala.

Para politikasındaki bir değişikliğin hasıla üzerindeki etkisi, parasal aktarım kanalları aracılığı ile gerçekleşmektedir. Para politikasının aktarım kanalları, faiz kanalı, varlık fiyatları kanalı, döviz kuru kanalı, kredi kanalı (banka kredileri kanalı, bilanço kanalı) ve beklenti kanalı olmak üzere beş alt başlık altında toplanabilir. Aktarım kanallarının işleyiş sürecinin analizinden elde edilen bulgular, politika belirleme sürecinde kullanılabilir. Bu çalışmanın amacı, banka kredileri kanalının Türkiye’de işleyişini analiz etmektir. Çalışmada VAR yöntemi ile kredi kanalının geçerliliği, 1996:06-2006:09 dönemine ait toplulaştırılmış veriler kullanılarak incelenmektedir. Elde edilen sonuçlara göre, Türkiye’de kredi kanalı kısmen işlemektedir. The effect of a change in monetary policy on output operates through monetary transmission channels. The transmission channels of monetary policy may be gathered in five main titles: interest rates channel, asset prices channel, exchange rate channel, credit channel (bank lending channel, balance sheet channel) and expectation channel. Findings obtained from the analysis of the transmission channels can be used in policy determination. This paper empirically analyzes the bank lending channel, one of the transmission mechanisms of monetary policy in Turkey. In this paper, data between 1996:06- 2006:09 are examined using VAR methodology. According to the findings, the credit channel in Turkey operates partially.

El canal del crédito bancario, que amplifica los efectos del canal tradicional de la política monetaria, hace énfasis en la estructura y las fricciones del mercado financiero como determinantes del gasto agregado. Este artículo analiza y verifica la existencia del canal del crédito bancario en Colombia estimando un modelo propuesto por Michael Gibson en 19971997, quien utiliza regresiones de umbral para determinar el impacto de la política monetaria sobre la demanda agregada. Los resultados obtenidos no permiten descartar la existencia de este mecanismo de transmisión en Colombia durante el periodo analizado, aunque éste parece operar solo a través de la política monetaria contraccionista. The Bank Credit Channel, which amplifies the effects of the traditional channel of monetary policy, emphasizes on the structure and frictions of financial markets as determinants of aggregate spending. This paper aims at analyze and verify the existence of the bank credit channel in Colombia estimating a model proposed by Gibson (1997) which uses threshold regressions as a way to determine the impact of monetary policy on aggregate demand. Results do not allow dismissing the existence of this transmission mechanism in Colombia during the analyzed period, although it seems to operate only through contractionary monetary policy. Le canal du crédit bancaire amplifie les effets du canal traditionnel de la politique monétaire et met l'accent sur la structure et sur les frictions du marché financier, lesquels constituent les éléments qui déterminent de la dépense agrégée. L'objectif de cet article est d'analyser et de vérifier l'existence du canal du crédit bancaire en Colombie en estimant le modèle proposé par Michael Gibson en 1997, lequel utilise des régressions à seuil pour déterminer l'impact de la politique monétaire sur la demande agrégée. Les résultats obtenus ne permettent pas d'écarter l'existence d'un mécanisme de transmission pendant la période analysée, malgré le fait qu'il ne paraisse agir qu'à travers une politique monétaire restrictive.

In this paper we find empirical evidence of bank lending channel for Colombia and Argentina. For Argentina, we do not find evidence that changes in the interbank interest rate affect the growth rate of total loans directly. However, the interbank interest rate affects the loan supply through its interactions with capitalization and liquidity. For Colombia, there is direct bank lending channel, which is reinforced through interactions with capitalization and liquidity. Also, using a panel data of more than 3,300 firms, we provide additional support to the existence of a bank lending channel for Colombia Este artículo presenta evidencia empírica sobre la existencia de canal de crédito bancario para Argentina y Colombia. Para Argentina no encontramos evidencia de que cambios en la tasa de interés interbancaria afecten la tasa de crecimiento del crédito directamente. Su efecto es indirecto, a través de sus interacciones con las relaciones de capitalización y liquidez. Para Colombia existe un canal de crédito bancario directo, el cual es reforzado a través de interacciones con las relaciones de capitalización y solvencia. Adicionalmente, usando datos de panel para más de 3.300 firmas, reportamos evidencia adicional que soporta la hipótesis de la existencia de un canal de crédito bancario para Colombia

The dramatic increase in securitisation activity has odified the functioning of credit markets by reducing the fundamental role of liquidity transformation performed by financial intermediaries. We claim that the changing role of banks from “originate and hold” to “originate, repackage and sell” has also modified banks’ abilities to grant credit and the effectiveness of the bank lending channel of monetary policy. Using a large sample of European banks, we find that the use of securitisation appears to shelter banks’ loan supply from the effects of monetary policy. Securitisation activity has also strengthened the capacity of banks to supply new loans but this capacity depends upon business cycle conditions and, notably, upon banks’ risk positions. In this respect, the recent experience of the sub-prime mortgage loans crisis is very instructive.

Using the theoretical predictions of the Bernanke-Blinder (1988) model, we seek to examine the existence of a bank lending channel through the empirical identification of a loan supply function and to assess the impact of differential bank characteristics on banks’ ability to supply loans. To this end, we estimate a loan supply model and test for the restrictions implied by perfect substitutability between loans and bonds in bank portfolios. Estimations are carried out on bank panel data for 16 OECD countries, the results showing that a bank lending channel is at work in only two of them. Moreover, and contrary to standard accounts, we find that the relevance of bank characteristics is hardly a decisive factor in the identification of a loan supply function.

In this paper we find empirical evidence of bank lending channel for Colombia and Argentina. As for Argentina, we do not find evidence that changes in the interbank interest rate affect the growth rate of total loans directly. However, it does indirectly through interactions: the interbank interest rate affects the loan supply through its interactions with capitalization and liquidity. As for Colombia, there is direct bank lending channel, which is reinforced through interactions with capitalization and liquidity. Also, using a panel data of more than 3300 firms, we provide additional support to the existence of a bank lending channel for Colombia.

The paper empirically investigates the monetary transmission mechanism in the Baltic States. The analysis of the transmission channels through which monetary policy shocks are transmitted is particularly important for the European Central Bank that makes monetary policy in an enlarged European Monetary Union. The paper focuses on the bank lending channel of monetary transmission due to the importance of banks in the financial system of the Baltic countries. The existence of this transmission channel is tested by using a panel structural approach that distinguishes banks according to size, capitalization, liquidity and ownership structure. The results indicate that a bank lending channel is present in the Baltic States and mainly caused by differences in liquidity.

Bu makale, parasal aktarımın banka ödünçleri kanalı literatürünü gözden geçirmekte ve analitik bir yaklaşımla Türkiye ekonomisinde 1986-2000 dönemi için bu kanalın işle iş koşullarını araştırmaktadır. Bu dönemde, Türkiye ekonomisinde banka ödünçleri kanalının çalışması için gerekli olan koşullar kısmen mevcuttur. Banka ödünçleri kanalını işleyişi üzerindeki en önemli kısıt, kamu açıklarının değişen finansman biçimi ile para otoritesinin buna uyum sağlayan rezerv politikasıdır. Diğer taraftan, finansal sistemin bankacılık ağırlıklı yapısı, mevduatın bankalar için ana fon kaynağı olmaya devam etmesi ve özel firmaların dış finansman temini bakımından bankalara bağımlı olmaları, bu dönemde banka ödünçleri kanalının işleyişini olumlu yönde etkileyen faktörler olmuşlardır. This paper reviews the literature on the bank lending channel of monetary transmission and examines the operation conditions for this channel analytica/ly in the Turkish economy during 1986-2000. The necessary conditions for the operation of the bank lending channel were partially present in the Turkish economy during this period. The most important obstacle on the operation of the bank lending channel was the changing method of financing public deficits and reserve accommodating policy oftlıe monetary authority to this method. On the other hand, banking seetar dominant financial system, continuation of deposits as the main source of funds for banks and bank dependent nature of private firms for external finance raising were the factors that affected the operation of the bank lending channel positively during this period.

Bu tez, Türk bankacılık datasına dayanarak parasal aktarım mekanizmasında banka kredi kanalınınrolünü analiz etmektedir. lk olarak, banka kredi kanalının teorik çerçevesi ve varlığı için gereklikoşullar ele alınmış, Peek ve Rosengren'in varsayımları ile güçlendirilmiş, Kashyap ve Stein'inçalışmasının ruhuna uygun basit ama açıklayıcı bir teorik model sunulmuştur. kinci olarak, bankakredi kanalının (geleneksel faiz kanalından ayrı olarak) Türkiye Cumhuriyet Merkez Bankası parapolitikasının reel sektör üzerindeki etkilerini açıklayan olası bir aday yapan Türk finansalsisteminin, kurumsal özelliklerine yoğunlaşılmıştır. Üçüncü olarak, banka kredi kanalının çalışıpçalışmadığına dair ekonometrik bir analiz ortaya konmuştur. Ana sonuç, teorik hipotezlere uygunolarak, Türkiye'de, ticari bankaların sermaye yeterlilik rasyosuna bağlı, banka kredi kanalınınçalıştığını gösteren güçlü kanıtların olduğudur.Anahtar Kelimeler: Banka Kredi Kanalı, Türkiye. This thesis analyses empirically the role of bank lending in monetary policy transmission on thebasis of Turkish bank level data. First, the research addresses the theoretical framework of thebank lending channel, examines necessary conditions for its existence, and presents a simplified,but still explanatory theoretical model in the spirit of Kashyap and Stein?s work empowered byPeek and Rosengren?s assumptions. Second, attention is paid to the institutional features ofTurkish financial system that make the bank lending channel (apart from traditional interest ratechannel) a plausible candidate to explain the influence of the Turkish Central Bank?s monetarypolicy on real sector. Third, the paper conducts an econometric analysis of whether bank lendingchannel in fact operates in Turkey. The main result suggests that there is a strong evidencesupporting the operation of bank lending channel in Turkey, depending to the capital adequacyof the commercial banks, which is consistent with the bank lending channel hypothesis.Keywords: Bank Lending Channel, Turkey. 76

Based on a quarterly regulatory dataset for German banks from 1999 to 2004, this paper analyzes the effects of banks' regulatory capital on the transmission of monetary policy in a system of liquidity networks. The dynamic panel regression results provide evidence in favor of the bank capital channel theory. Banks holding less regulatory capital and less interbank liquidity react more restrictively to a monetary tightening than their peers.

The recent debate on the impact of capital regulation on bank behaviour shows that risk exposures of banks might influence the amount of loans newly granted to the non-financial sector. The paper extends the traditional set of bank-specific variables used in testing for the bank lending channel and points to the role of financial stability analysis in the conduct of monetary policy. This role stems from the fact that the financial instability can influence the monetary transmission mechanism. The implications of the presented reasoning are tested using the data for the Polish banking sector during the period 1997-2004. The variables proxying bank risk preferences and the level of risk undertaken (also when interacted with a monetary policy measure) are significant in regressions explaining changes in the amount of bank loan supply.

This paper evaluates the relevance of the "bank lending channel'' of monetary policy transmission in Brazil. Disaggregated monthly data of the Brazilian banks balance sheets from December 1994 to December 2001 are analyzed. In addition to the short-term interest rate, we consider the effects of another monetary policy instrument frequently used in Brazil, represented by reserve requirements on overall banks deposits - demand, savings, and time deposits. Dynamic panel data techniques are employed. Our results suggest that the impact of reserve requirements is relevant and stronger for larger banks loans. This finding results from the progressive reserve rates required from banks, which affect to a greater extent banks with larger deposit volumes.Este artigo avalia o canal de empréstimos bancários na transmissão da política monetária. A análise foca os dados mensais desagregados do balanço patrimonial dos bancos comerciais brasileiros de dezembro de 1994 a dezembro de 2001. Em adição à taxa básica de juros de curto prazo, este estudo considera também os efeitos de um outro instrumento de política monetária usado freqüentemente no Brasil, representado pelos recolhimentos compulsórios sobre os depósitos à vista, de poupança e a prazo. A partir de técnicas de análise de dados em painel dinâmico, os resultados dos testes sugerem que o impacto dos compulsórios é relevante e é mais forte sobre os empréstimos dos grandes bancos, conclusão que decorre de recolhimentos compulsórios de caráter progressivo, que afetam mais fortemente os bancos com maiores volumes de depósitos.

The aim of this paper is to study cross-sectional differences in banks interest rates. It adds to the existing literature in two ways. First, it analyzes in a systematic way both micro and macroeconomic factors that influence the price setting behavior of banks. Second, by using banks' prices (rather than quantities) it provides an alternative way to disentangle loan supply from loan demand shift in the bank lending channel' literature. The results, derived from a sample of Italian banks, suggest that heterogeneity in the banking rates pass-through exists only in the short run. Consistently with the literature for Italy, interest rates on shortterm lending of liquid and well-capitalized banks react less to a monetary policy shock. Also banks with a high proportion of long-term lending tend to change their prices less. Heterogeneity in the pass-through on the interest rate on current accounts depends mainly on banks' liability structure. Bank's size is never relevant.

Capital requirements play a key role in the supervision and regulation of banks. The Basel Committee on Banking Supervision is now changing the current framework by introducing risk-sensitive capital charges. There have been concerns that this will unduly increase volatility in the banks' capital. Furthermore, when the credit supply is rationed, capital requirements may exacerbate an economic downturn. We examine the problem of cyclicality in a macroeconomic model which explicitly takes regulatory constraints into account. We find that the capital buffer which banks hold on top of the required minimum plays a crucial role in mitigating the volatility in capital requirements. Therefore, despite the fact that capital charges may vary significantly over time, the effects on the macroeconomy will be moderate.

This paper presents a moral hazard model of financing in which borrowers adopt two modes of finance, either issuing bonds or applying for bank loans. The bond rate is set by the borrowers, while the loan rate is chosen by a monopolistic bank. Bank finance ameliorates the moral hazard problem by monitoring borrowers. Monetary interventions, which affect real economy through the bank lending channel, are justified on the basis of welfare considerations. When the informational problem is not severe, monitoring is wasteful and welfare is enhanced through a monetary tightening. When the moral hazard problem is severe, monitoring is useful and welfare is increased by a monetary expansion.

The theory of the bank lending channel indicates that financial institutions with larger size, higher capitalisation and higher liquidity present a greater capacity to maintain their levels of credit supply in a situation of monetary contraction. However, there is a paucity of (European) studies that analyse the bank lending channel from the non-financial firms’ perspective. This paper analyzes the impact of monetary policy actions on a large sample of Spanish firms. The empirical evidence for Spain shows that the impact of size, solvency and liquidity are similar for banks and non-financial firms.

This paper addresses the pass-through from market interest rates to retail bank interest rates. The paper advocates a heterogeneous approach and applies it to the Belgian banking market. A substantial proportion of the heterogeneity in bank pricing policies can be explained by the bank lending channel and the relative market power hypothesis. The results also suggest that the long-term pass-through is typically less than one-for-one, rejecting the completeness hypothesis. While there is no convincing evidence for asymmetry in retail rates, large deviations from equilibrium mark-ups are faster reduced than small deviations. Overall, conditions for corporate loans are more competitive compared to consumer loans. Demand and savings deposits have, by far, the most rigid prices.

Since 1 January 1999 the ECB has conducted a single monetary policy in the euro area, but the mechanisms by which and the extent to which monetary shocks are transmitted into prices and real economic activity may vary from country to country. This paper investigates how and to what extent the impact of monetary policy depends on national features of financial systems. The main interest is in examining whether the bank lending channel of monetary policy results in asymmetric loan supply reactions on the aggregate level across countries. The variety of transmission mechanisms suggests that the potency of monetary policy may depend on several country-specific factors. On the basis of descriptive analysis, the present Member States seem to differ considerably in terms of their financial systems. The econometric analysis using aggregate data on a panel of twelve countries supports the view that some of these differences may lead to cross-country asymmetries in responses to the common monetary policy. In particular, a larger size and a lower degree of capitalisation of a banking sector are found to strengthen the bank lending channel on the aggregate level.

The paper studies the importance of the bank-lending channel in Estonia. The results from the descriptive evidence suggest that there is a significant share of bank dependent borrowers in Estonia, but the impact of a monetary policy shock on the loan supply of banks seems to be ambiguous. The empirical analysis provides evidence in favour of the bank-lending channel in Estonia. First, well-capitalized banks seem to experience a smaller outflow of deposits after a monetary contraction. Second, the liquidity position of banks seems to be an important determinant of the loan supply suggesting that more liquid banks are able to maintain their loan portfolios, while less liquid banks must reduce their loan supply after a monetary policy contraction. This finding is consistent with the evidence for the euro area, where liquidity is also the most important determinant of the loan supply.

In this paper, we test the bank lending channel of monetary policy transmission in Sweden. Using a panel of bank balance sheet data covering the period 1998:M1 to 2003:M6, we test for bank loan supply shifts by segregating banks by asset size, liquidity and capitalization. The main result is that small, illiquid and undercapitalized banks are significantly affected by monetary policy, which supports the hypothesis of the bank lending channel

In this paper we develop a method for testing the implications of the Bernanke–Blinder model for monetary policy transmission. Multivariate cointegration techniques are used in a sample that includes six major industrial countries with data covering the last 25 years. Moreover, we examine whether changes in financial markets affected the degree of asset substitutability and thus the potency of the lending channel. We find that in the US and the UK, representing the “Anglo-Saxon type” of financial market structure, the lending channel is inoperative, while in Japan it is still important for monetary transmission. The other three European countries examined–Germany, France, Italy–are in between, with the lending channel losing its potency in the last decade.

This study discusses the effects of financial intermediation, banks' moral hazard and monitoring on monetary policy transmission in a simple model where borrowers are dependent on loans granted by banks with superior monitoring skills.As distinct from the prior literature on monetary policy transmission, this study does not regard banks' deposit funding as a reason for their special role in the monetary transmission.Instead, we focus on banks' role in monitoring their loan customers as part of financial intermediation and on the effects of monitoring on monetary policy. We find that when the intensity of monitoring is endogenous banks acting as financial intermediaries with moral hazard problems respond less to monetary policy in lending than nonintermediary lenders that only lend their own capital without moral hazard problems.We also find that in the model the lending response of intermediary banks to monetary policy depends on the ratio of their own capital to the volume of lending.The finding is fairly insensitive to the market structure of the banking sector.In the case of a monopoly bank, an increase in the bank's capital-to-loans ratio always weakens the transmission of monetary policy to bank lending.In the case of competitive banks, an increase in the capital-to-loans ratio weakens the transmission of monetary policy to aggregate bank lending, up to a critical level. Using a data set covering the Finnish banking sector in 1995-2000, we also offer some tentative empirical evidence that is broadly consistent with the model.Banks with higher capital ratios tend to respond less to changes in monetary policy.Our conclusion is that the outcome of the model might be helpful in explaining the heterogeneity of banks' responses to monetary policy, which frequently observed in the empirical literature.

In this paper a modified version of Bernanke and Blinder�s (1988) model of the bank lending channel of monetary policy under asymmetric information is presented. If, aside from reserve requirements, banks have to meet capital adequacy requirements as well, then the results suggested by Bernanke and Blinder have to be amended in several respects. Most noticeably, when the net worth constraint is binding, the efficacy of monetary policy is severely lessened. Further, we are able to show that a positive relationship between banks� capital base and the real economy exists. Das Modell von Bernanke und Blinder (1988), in welchem der bei Vorliegen von asymmetrischer Information bedeutsame Kreditkanal der Geldpolitik erläutert wird, lässt sich dahingehend erweitern, dass Banken neben Mindestreserve- auch Eigenkapitalvorschriften einhalten müssen. Die Ergebnisse von Bernanke und Blinder werden durch diese Modifikation mitunter stark beeinflusst. Wenn die Eigenkapitalvorschrift bindet, wird die Wirksamkeit von Geldpolitik erheblich beeinträchtigt. Zwischen der Eigenkapitalausstattung des Bankensektors und der realwirtschaftlichen Ökonomie besteht ein positiver Zusammenhang.