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TÜRKİYE’DE BANKA KREDİ KANALININ ÖNEMİ ÜZERİNE ETKİ TEPKİ FONKSİYONLARINA DAYALI BİR DEĞERLENDİRME (1990-2006)

Year 2008, Volume: 26 Issue: 2, 81 - 104, 31.12.2008

Abstract

Özellikle 1990 sonrası için literatürde
çeşitli ülke örnekleri üzerine banka kredi kanalının önemini inceleyen çok
sayıda çalışma bulunmaktadır. Banka kredi kanalına göre parasal daralmanın
ardından bankalar kredi arzını kısmakta ve bu da reel ekonomi üzerinde negatif
etkilere yol açmaktadır. Bu çalışmanın amacı 1990-2006 dönemi için Türkiye’de
banka kredi kanalının önemini incelemektir. Çalışmada önce Türkiye’de kredi
kanalının işlemesi için gerekli koşulların geçerliliği ele alınmakta, daha
sonra Bernanke ve Blinder’in (1992) çalışması örnek alınarak VAR modeli
uygulanmakta ve makro değişkenlerin para politikası şokuna tepkileri tahmin
edilmektedir. Sonuçlar Türkiye ekonomisi açısından banka kredi kanalının
işlemesi için gerekli koşulların önemli ölçüde geçerli olduğunu göstermektedir.
Ampirik bulgular ise banka kredi kanalının para politikasının aktarımında önemli
olduğunu göstermektedir.



 

References

  • Altunbaş, Y F. Otabek and P. Molyneux (2002) “Evidence on the Bank Lending Channel in Europe”, Journal of Banking and Finance, 26, 2093-110.
  • Awokuse, T.O. and D.A. Besler (2003) “Vector Autoregressions Policy Analysis and Directed Acyclic Graphs: An Application to the US Economy”, Journal of Applied Economics, VI(1), 1-24.
  • Bacchetta, P. and F. Ballabriga (2000) “The Impact of Monetary Policy and Banks Balance Sheets: Some International Evidence”, Applied Financial Economics, 10, 15-26.
  • Bagliano, F.C. and C.A. Favero (1998) “Measuring Monetary Policy With VAR Models: An Evaluation”, European Economic Review, 42, 1069-112.
  • Bank of Korea (1998) “Korea’s Experience of the Monetary Transmission Mechanism”, The Transmission of Monetary Policy in Emerging Market Economies İç., BİS Policy Papers No: 3, Basel, 140-53.
  • Belke, A. C. Eppendorfer und J. M. Heine (2001) “Zur Bedeutung Unterschiedlicher Finanzmarktstrukturen für den Geldpolitischen Transmissionsprozess in der EWU”, İnstitut für Europeaische Wirtschaft Diskussionbeiträge 39, Bochum.
  • Bernanke, B.S. and A.S. Blinder (1988) “Credit Money and Aggregate Demand”, American Economic Review, 78(2), 435-39.
  • Bernanke, B.S. and A.S. Blinder (1992) “The Federal Funds Rate and the Channels of Monetary Policy”, American Economic Review, 82(4), 901-21.
  • BDDK, Finansal Piyasalar Raporu, Sayı 4, Aralık 2006.
  • Bredin, D. and G. O’Reilly (2004) “An Analysis of the Transmission Mechanism of Monetary Policy in Ireland”, Applied Economics, 36, 49-58.
  • Cengiz, V. (2006) “Teorik ve Ampirik Analizler Çerçevesinde Para Politikasının Etkinliği ve Aktarım Mekanizmaları”, İstanbul Üniversitesi Siyasal Bilgiler Fakültesi Dergisi, 35, 125-44.
  • Chrystal, A. and P. Mizen (2002) “Modelling Credit in the Transmission Mechanism of the United Kingdom”, Journal of Banking and Finance, 26, 2131-54.
  • Çavuşoğlu, A.T. (2002) “Credit Transmission Mechanism in Turkey: An Empirical Investigation”, ERC Working Paper 02/03, 1-30.
  • De Bondt, G.J. (1999) “Banks and Monetary Transmission in Europe: Empirical Evidence”, Banca Nazionale del Lavoro Quarterly Review, 52 (209), 149-68.
  • Dimsdale, N. (1994) “Banks Capital Markets and the Monetary Transmission Mechanism”, Oxford Review of Economic Policy, 10(4), 34-48.
  • Gambacorta, L. (2005) “Inside the Bank Lending Channel”, European Economic Review, 49.
  • Garretsen, H. and J. Swank, (1998) “The Transmission of Interest Rate Changes and the Role of Bank Balance Sheets: A VAR Analysis for the Netherlands”, Journal of Macroeconomics, 20(2), 325-39.
  • Gujarati, D.N. (2001) Temel Ekonometri, Çev. Ümit Şenesen ve Gülay Günlük Şenesen, İstanbul: Literatür Yayıncılık.
  • Gündüz, L. (2001) “Türkiye’de Parasal Aktarım Mekanizması ve Banka Kredi Kanalı”, İMKB Dergisi, 18, 13-30.
  • Iturriaga, F.J.L. (2000) “More on the Credit Channel of Monetary Policy Transmission: An International Comparison”, Applied Financial Economics, 10, 423-34.
  • İnan, E.A. (2001) “Parasal Aktarım Mekanizmasının Kredi Kanalı ve Türkiye”, Bankacılar Dergisi, 39, 3-19.
  • Johnston, J. and J. Dinardo (1997) Econometric Methods, Fourth Edition, USA: The McGraw-Hill Comp. Inc.
  • Kashyap, A.K. J.C. Stein and D.W. Wilcox (1993) “Monetary Policy and Credit Conditions: Evidence from the Composition of External Finance”, American Economic Review, 83(1), 78-98.
  • Kashyap, A.K. and J.C. Stein (2000) “What Do A Million Observations on Banks Say About the Transmission of Monetary Policy?, American Economic Review, 90(3), 407-28.
  • Kishan, R.P. and T.P. Opiela (2000) “Bank Size Bank Capital and the Bank Lending Channel”, Journal of Money Credit and Banking, 32(1), 121-41.
  • Lensink, R. and E.Sterken (2002), “Monetary Transmission and Bank Competition in the EMU”, Journal of Banking and Finance, 26, 2065-75.
  • Lütkepohl, H. and P. Saikkonen (1997) “Impulse Response Analysis İn İnfinite Order Cointegrated Vector Otoregressive Processes”, Journal of Econometrics, 81, 127-57.
  • Meltzer, A.H. (1995) “Monetary Credit and (Other) Transmissions Processes: A Monetarist Perspective”, Journal of Economic Perspectives, 9(4), 49-72.
  • Oliner, S.D. and G.D. Rudebush (1995) “Is There a Bank Lending Channel for Monetary Policy”, Economic Review, Federal Reserve Bank of San Fransisco, No: 2, 3-20.
  • Oliner, S.D. and G.D. Rudebush (1996) “Monetary Policy and Credit Conditions: Evidence from the Composition of External Finance: Comment”, American Economic Review, 86(1), 300-309.
  • Ramey, V.A. (1993) “How Important Is The Credit Channel in the Transmission of Monetary Policy?”, NBER Working Paper No: 4285, 1-42.
  • Rocha, J. de la. (1998)“The Transmission Mechanism of Monetary Policy in Peru”, The Transmission of Monetary Policy in Emerging Market Economies İç., BİS Policy Papers No: 3, Basel.
  • Romer, C.D. and D.H. Romer (1990) “New Evidence on the Monetary Transmission Mechanism” Brooking Papers on Economic Activity, 1, 149-213.
  • Sarte, P.G. (1997) “On the Identification of Structural Vector Autoregressions”, Economic Quarterly, Federal Reserve Bank of Richmond, 83(3), 45-67.
  • Sims, C.A. (1980) “Macroeconomics and Reality”, Econometrica, 48(1), 1-33.
  • Suzuki, T. (2004) “Is The Lending Channel of Monetary Policy Dominant in Australia?”, Economic Record, 80(249), 145-56.
  • Şengönül A. and W. Thorbecke (2005) “The Effect of Monetary Policy on Bank Lending in Turkey”, Applied Financial Economics, 15, 931-34.
  • SPK, 2002 Yılı Faaliyet Raporu.
  • SPK, 2003 Yılı Faaliyet Raporu.
  • SPK, 2005 Yılı Faaliyet Raporu.
  • SPK, 2006 Yılı Faaliyet Raporu.
  • TBB, Bankalarımız 2005, TBB Yayınları No: 245, Mayıs 2006.
  • http://www.tcmb.gov.tr/
  • http://www.hazine.gov.tr/
  • http://www.tuik.gov.tr/

An Assessment on the Importance of Bank Lending Channel in Turkey Based on the Impulse Response Functions (1990-2006)

Year 2008, Volume: 26 Issue: 2, 81 - 104, 31.12.2008

Abstract


 

Especially after 1990 there is a lot of
study in the literature which has investigated the importance of bank lending
channel for different countries. According to bank lending channel, after a monetary
contraction banks reduce the supply of bank loans and this cause a negative
impact on the real economy. The aim of this study is to investigate the
importance of bank lending channel in Turkey for 1990-2006 period. In the study
first we discuss the validity of the necessary conditions which must be
satisfied for the bank lending channel to exist, than following Bernanke and
Blinder (1992) we apply a VAR model and estimate the responses of the aggregate
variables to the monetary policy shock. The results indicate that the necessery
conditions which must be satisfied for the bank lending channel to exist is in
effective in a large measure for Turkish economy. And the empirical evidence
support that bank lending channel is important in the transmission of monetary
policy.

  













 

References

  • Altunbaş, Y F. Otabek and P. Molyneux (2002) “Evidence on the Bank Lending Channel in Europe”, Journal of Banking and Finance, 26, 2093-110.
  • Awokuse, T.O. and D.A. Besler (2003) “Vector Autoregressions Policy Analysis and Directed Acyclic Graphs: An Application to the US Economy”, Journal of Applied Economics, VI(1), 1-24.
  • Bacchetta, P. and F. Ballabriga (2000) “The Impact of Monetary Policy and Banks Balance Sheets: Some International Evidence”, Applied Financial Economics, 10, 15-26.
  • Bagliano, F.C. and C.A. Favero (1998) “Measuring Monetary Policy With VAR Models: An Evaluation”, European Economic Review, 42, 1069-112.
  • Bank of Korea (1998) “Korea’s Experience of the Monetary Transmission Mechanism”, The Transmission of Monetary Policy in Emerging Market Economies İç., BİS Policy Papers No: 3, Basel, 140-53.
  • Belke, A. C. Eppendorfer und J. M. Heine (2001) “Zur Bedeutung Unterschiedlicher Finanzmarktstrukturen für den Geldpolitischen Transmissionsprozess in der EWU”, İnstitut für Europeaische Wirtschaft Diskussionbeiträge 39, Bochum.
  • Bernanke, B.S. and A.S. Blinder (1988) “Credit Money and Aggregate Demand”, American Economic Review, 78(2), 435-39.
  • Bernanke, B.S. and A.S. Blinder (1992) “The Federal Funds Rate and the Channels of Monetary Policy”, American Economic Review, 82(4), 901-21.
  • BDDK, Finansal Piyasalar Raporu, Sayı 4, Aralık 2006.
  • Bredin, D. and G. O’Reilly (2004) “An Analysis of the Transmission Mechanism of Monetary Policy in Ireland”, Applied Economics, 36, 49-58.
  • Cengiz, V. (2006) “Teorik ve Ampirik Analizler Çerçevesinde Para Politikasının Etkinliği ve Aktarım Mekanizmaları”, İstanbul Üniversitesi Siyasal Bilgiler Fakültesi Dergisi, 35, 125-44.
  • Chrystal, A. and P. Mizen (2002) “Modelling Credit in the Transmission Mechanism of the United Kingdom”, Journal of Banking and Finance, 26, 2131-54.
  • Çavuşoğlu, A.T. (2002) “Credit Transmission Mechanism in Turkey: An Empirical Investigation”, ERC Working Paper 02/03, 1-30.
  • De Bondt, G.J. (1999) “Banks and Monetary Transmission in Europe: Empirical Evidence”, Banca Nazionale del Lavoro Quarterly Review, 52 (209), 149-68.
  • Dimsdale, N. (1994) “Banks Capital Markets and the Monetary Transmission Mechanism”, Oxford Review of Economic Policy, 10(4), 34-48.
  • Gambacorta, L. (2005) “Inside the Bank Lending Channel”, European Economic Review, 49.
  • Garretsen, H. and J. Swank, (1998) “The Transmission of Interest Rate Changes and the Role of Bank Balance Sheets: A VAR Analysis for the Netherlands”, Journal of Macroeconomics, 20(2), 325-39.
  • Gujarati, D.N. (2001) Temel Ekonometri, Çev. Ümit Şenesen ve Gülay Günlük Şenesen, İstanbul: Literatür Yayıncılık.
  • Gündüz, L. (2001) “Türkiye’de Parasal Aktarım Mekanizması ve Banka Kredi Kanalı”, İMKB Dergisi, 18, 13-30.
  • Iturriaga, F.J.L. (2000) “More on the Credit Channel of Monetary Policy Transmission: An International Comparison”, Applied Financial Economics, 10, 423-34.
  • İnan, E.A. (2001) “Parasal Aktarım Mekanizmasının Kredi Kanalı ve Türkiye”, Bankacılar Dergisi, 39, 3-19.
  • Johnston, J. and J. Dinardo (1997) Econometric Methods, Fourth Edition, USA: The McGraw-Hill Comp. Inc.
  • Kashyap, A.K. J.C. Stein and D.W. Wilcox (1993) “Monetary Policy and Credit Conditions: Evidence from the Composition of External Finance”, American Economic Review, 83(1), 78-98.
  • Kashyap, A.K. and J.C. Stein (2000) “What Do A Million Observations on Banks Say About the Transmission of Monetary Policy?, American Economic Review, 90(3), 407-28.
  • Kishan, R.P. and T.P. Opiela (2000) “Bank Size Bank Capital and the Bank Lending Channel”, Journal of Money Credit and Banking, 32(1), 121-41.
  • Lensink, R. and E.Sterken (2002), “Monetary Transmission and Bank Competition in the EMU”, Journal of Banking and Finance, 26, 2065-75.
  • Lütkepohl, H. and P. Saikkonen (1997) “Impulse Response Analysis İn İnfinite Order Cointegrated Vector Otoregressive Processes”, Journal of Econometrics, 81, 127-57.
  • Meltzer, A.H. (1995) “Monetary Credit and (Other) Transmissions Processes: A Monetarist Perspective”, Journal of Economic Perspectives, 9(4), 49-72.
  • Oliner, S.D. and G.D. Rudebush (1995) “Is There a Bank Lending Channel for Monetary Policy”, Economic Review, Federal Reserve Bank of San Fransisco, No: 2, 3-20.
  • Oliner, S.D. and G.D. Rudebush (1996) “Monetary Policy and Credit Conditions: Evidence from the Composition of External Finance: Comment”, American Economic Review, 86(1), 300-309.
  • Ramey, V.A. (1993) “How Important Is The Credit Channel in the Transmission of Monetary Policy?”, NBER Working Paper No: 4285, 1-42.
  • Rocha, J. de la. (1998)“The Transmission Mechanism of Monetary Policy in Peru”, The Transmission of Monetary Policy in Emerging Market Economies İç., BİS Policy Papers No: 3, Basel.
  • Romer, C.D. and D.H. Romer (1990) “New Evidence on the Monetary Transmission Mechanism” Brooking Papers on Economic Activity, 1, 149-213.
  • Sarte, P.G. (1997) “On the Identification of Structural Vector Autoregressions”, Economic Quarterly, Federal Reserve Bank of Richmond, 83(3), 45-67.
  • Sims, C.A. (1980) “Macroeconomics and Reality”, Econometrica, 48(1), 1-33.
  • Suzuki, T. (2004) “Is The Lending Channel of Monetary Policy Dominant in Australia?”, Economic Record, 80(249), 145-56.
  • Şengönül A. and W. Thorbecke (2005) “The Effect of Monetary Policy on Bank Lending in Turkey”, Applied Financial Economics, 15, 931-34.
  • SPK, 2002 Yılı Faaliyet Raporu.
  • SPK, 2003 Yılı Faaliyet Raporu.
  • SPK, 2005 Yılı Faaliyet Raporu.
  • SPK, 2006 Yılı Faaliyet Raporu.
  • TBB, Bankalarımız 2005, TBB Yayınları No: 245, Mayıs 2006.
  • http://www.tcmb.gov.tr/
  • http://www.hazine.gov.tr/
  • http://www.tuik.gov.tr/
There are 45 citations in total.

Details

Journal Section Articles
Authors

Vedat Cengiz This is me

Mehmet Duman This is me

Publication Date December 31, 2008
Submission Date May 25, 2017
Published in Issue Year 2008 Volume: 26 Issue: 2

Cite

APA Cengiz, V., & Duman, M. (2008). TÜRKİYE’DE BANKA KREDİ KANALININ ÖNEMİ ÜZERİNE ETKİ TEPKİ FONKSİYONLARINA DAYALI BİR DEĞERLENDİRME (1990-2006). Hacettepe Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi, 26(2), 81-104.
AMA Cengiz V, Duman M. TÜRKİYE’DE BANKA KREDİ KANALININ ÖNEMİ ÜZERİNE ETKİ TEPKİ FONKSİYONLARINA DAYALI BİR DEĞERLENDİRME (1990-2006). Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi. September 2008;26(2):81-104.
Chicago Cengiz, Vedat, and Mehmet Duman. “TÜRKİYE’DE BANKA KREDİ KANALININ ÖNEMİ ÜZERİNE ETKİ TEPKİ FONKSİYONLARINA DAYALI BİR DEĞERLENDİRME (1990-2006)”. Hacettepe Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi 26, no. 2 (September 2008): 81-104.
EndNote Cengiz V, Duman M (September 1, 2008) TÜRKİYE’DE BANKA KREDİ KANALININ ÖNEMİ ÜZERİNE ETKİ TEPKİ FONKSİYONLARINA DAYALI BİR DEĞERLENDİRME (1990-2006). Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi 26 2 81–104.
IEEE V. Cengiz and M. Duman, “TÜRKİYE’DE BANKA KREDİ KANALININ ÖNEMİ ÜZERİNE ETKİ TEPKİ FONKSİYONLARINA DAYALI BİR DEĞERLENDİRME (1990-2006)”, Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, vol. 26, no. 2, pp. 81–104, 2008.
ISNAD Cengiz, Vedat - Duman, Mehmet. “TÜRKİYE’DE BANKA KREDİ KANALININ ÖNEMİ ÜZERİNE ETKİ TEPKİ FONKSİYONLARINA DAYALI BİR DEĞERLENDİRME (1990-2006)”. Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi 26/2 (September 2008), 81-104.
JAMA Cengiz V, Duman M. TÜRKİYE’DE BANKA KREDİ KANALININ ÖNEMİ ÜZERİNE ETKİ TEPKİ FONKSİYONLARINA DAYALI BİR DEĞERLENDİRME (1990-2006). Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi. 2008;26:81–104.
MLA Cengiz, Vedat and Mehmet Duman. “TÜRKİYE’DE BANKA KREDİ KANALININ ÖNEMİ ÜZERİNE ETKİ TEPKİ FONKSİYONLARINA DAYALI BİR DEĞERLENDİRME (1990-2006)”. Hacettepe Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi, vol. 26, no. 2, 2008, pp. 81-104.
Vancouver Cengiz V, Duman M. TÜRKİYE’DE BANKA KREDİ KANALININ ÖNEMİ ÜZERİNE ETKİ TEPKİ FONKSİYONLARINA DAYALI BİR DEĞERLENDİRME (1990-2006). Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi. 2008;26(2):81-104.

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