An empirical analysis of the monetary transmission in theTurkish economy

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2002

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Çavuşoğlu, A. Tarkan

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The purpose of this two-essay thesis is to empirically investigate the characteristics of the monetary transmission mechanism in the Turkish economy. The first essay is an attempt to test the presence of a bank lending channel of monetary transmission by exploiting a dynamic panel data modelling approach. The empirical investigations are focused on the bank lending behaviour of 58 deposit money banks covering the period of 1988-1999. The results of the model estimations provide no evidence of a potential for a bank lending channel to exist in the Turkish economy. Such an outcome is reflected by the lack of a significant relationship between monetary policy indicators and the growth rate of the loan msupply in the estimated models. However, the findings imply that bank lending behaviour is influenced significantly by bank specific factors such as the balance sheet strength and the quality of the asset portfolio, and by government debt sales to the banking system. The second essay of the thesis is an attempt to trace the adjustment dynamics of the monetary transmission process by using the cointegration analysis of time series. The quarterly macroeconomic data exploited in the empirical investigations cover the period of 1985:1-2001:4. The findings imply that the monetary transmission process in the Turkish economy can be characterised by the monetary accommodation of high inflation and budget deficits, the outcome of which is an endogenous credit money expansion.

Subject Keywords

Monetary transmission, Bank lending channel, Endogenous money, Dynamic panel data, Cointegration

URI

https://hdl.handle.net/11511/13473

Collections

Graduate School of Social Sciences, Thesis

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Citation Formats

A. T. Çavuşoğlu, “An empirical analysis of the monetary transmission in theTurkish economy ,” Ph.D. - Doctoral Program, Middle East Technical University, 2002.