Banks and monetary policy transmissiom mechanism : an empirical analysis for Turkey

Download
2012
Özşuca, Ekin Ayşe
The purpose of this thesis is to empirically explore the characteristics of the monetary transmission mechanism, with a particular emphasis on the role of banks, in Turkey. By looking at the banking sector at the micro level and exploiting dynamic panel data modeling approaches, the heterogeneity in banks’ response in terms of their lending and risk-taking to changes in policy interest rates is analyzed. The first essay is an empirical analysis of the bank lending channel of monetary transmission. In this regard, the lending behavior of banks operating over the period 1988-2009 is examined. Given the changes in the policy stance and developments in the financial system following 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. 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, it is found 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. The second essay investigates the existence of risk-taking channel of monetary policy by using quarterly data over the period 2002-2012. Four alternative risk measures are used in the analysis; three accounting-based risk indicators and a market-based indicator. Our findings show that low levels of interest rates have a positive impact of banks’ risk-taking behavior for all risk measures. In terms of bank specific characteristics, our results imply that large, liquid and well-capitalized banks are less prone to risk-taking.

Suggestions

Trade-based manipulation in financial markets
İmişiker, Serkan; Gaygısız Lajunen, Esma; Department of Economics (2013)
The purpose of this thesis is to empirically explore the characteristics of the monetary transmission mechanism, with a particular emphasis on the role of banks, in Turkey. By looking at the banking sector at the micro level and exploiting dynamic panel data modeling approaches, the heterogeneity in banks’ response in terms of their lending and risk-taking to changes in policy interest rates is analyzed. The first essay is an empirical analysis of the bank lending channel of monetary transmission. In this r...
Turkey's export competitiveness in the EU-15 market
Ekmen Özçelik, Seda; Erlat, Güzin; Department of Economics (2012)
The purpose of this thesis is to empirically explore the characteristics of the monetary transmission mechanism, with a particular emphasis on the role of banks, in Turkey. By looking at the banking sector at the micro level and exploiting dynamic panel data modeling approaches, the heterogeneity in banks’ response in terms of their lending and risk-taking to changes in policy interest rates is analyzed. The first essay is an empirical analysis of the bank lending channel of monetary transmission. In this r...
An empirical analysis of the monetary transmission in theTurkish economy
Çavuşoğlu, A. Tarkan; Özmen, Erdal; Department of Economics (2002)
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 fo...
Domestic credit expansion, capital flows and current account imbalances : empirical analyses for Brazil and Turkey
Yaman, Yasemin; Gaygısız Lajunen, Esma; Department of Economics (2012)
This thesis analyzes the interactions between domestic credit expansion, capital inflows and current account imbalances in a framework of empirical models carried out for Brazil and Turkey. In this context, three vector autoregressive (VAR) models are specified covering the time period between January 2002 and March 2012 for Brazil and 2003 January and 2012 March for Turkey. Real effective exchange rate (REER) and relative yield spreads formed with country specific Embi + indexes are also included in the es...
An Empirical Analysis of the Bank Lending Channel in Turkey
Ozsuca, Ekin Ayse; Akbostancı Özkazanç, Elif (2013-07-01)
The purpose of this paper is to empirically analyze the role of the banking sector in monetary policy transmission in Turkey covering the period 1988-2009. By exploiting dynamic panel data modeling approaches, the heterogeneity in banks' lending response to changes in policy interest rates is analyzed. Given the changes in the policy stance and developments in the financial system following the 2000-01 crisis, the analysis is further conducted for the two sub-periods, 1988-2001 and 2002-2009, to examine whe...
Citation Formats
E. A. Özşuca, “Banks and monetary policy transmissiom mechanism : an empirical analysis for Turkey,” Ph.D. - Doctoral Program, Middle East Technical University, 2012.