KREDİ ŞOKLARININ BAYESYEN VAR YÖNTEMİ İLE AYRIŞTIRILMASI: TÜRKİYE ÖRNEĞİ

Year 2022, Volume: 14 Issue: 26, 245 - 273, 31.01.2022

Alp Şerbetli Murat Akbalık

https://doi.org/10.14784/marufacd.1055232

Abstract

Kredilerin, para politikası aktarım mekanizmasını hızlandırdığı ve etkisini büyüttüğü bir gerçektir. Fakat aktarım mekanizmasında farklı şoklar tarafından açıklanan kredilerin, aktarım mekanizmasındaki hızlandırıcı etkilerinin ötesinde olası bir “arz-talep” bulmacası sorununun var olduğunu göstermekte ve bu şokların tanımlanması para politikasının etkinliğini artırmaktadır. Bu çalışmada, kredi büyümesinde etkili olan şokların tarihsel olarak ayrıştırılması ve kredi büyümesinin şoklara olan tepkileri analiz edilmiştir. Çalışmada kredi piyasasına yönelen şoklar, Bayesyen VAR yöntemi ile analiz edilmiştir. Sonuçlar, analiz dönemi boyunca kredi arz ve talep şoklarının kredi büyümesi üzerinde oldukça etkili olduğunu göstermektedir. Buna ek olarak sermaye akımı şoklarının Türkiye Bankacılık Sektörü kredi büyümesinde belirleyici diğer bir baskın faktör olduğu sonucuna ulaşılmıştır

Keywords

Parasal Aktarım Mekanizması, Kredi Görüşü, Bayesyen VAR

References

• ARIAS, J.E., RUBIO-RAMIREZ, J.F., WAGGONER, D.F. (2014), Inference Based on SVARs Identified with Sign and Zero Restrictions:Theory and Applications, International Finance Discussion Papers, Federal Reserve Bank of Atlanta.
• BARNETT, A., THOMAS, R. (2013), Has Weak Lending and Activity in the United Kingdom Been Driven by Credit Supply Shocks, Bank of England, Working Paper No: 482.
• BERNANKE, B.S., BLINDER, A.S. (1988), Credit, Money, and Aggregate Demand, The American Economic Review, Vol. 78, No. 2, Papers and Proceedings of the One-Hundredth Annual Meeting of the American Economic Association.
• BERNANKE, B.S., BLINDER, A.S. (1992), The Federal Funds Rate and the Channels of Monetary Transmission, The American Economic Review, Vol. 82, No. 4.
• BERNANKE, B.S., GERTLER M., (1995), Inside the Black Box: The Credit Channel of Monetary Policy Transmission, Journal of Economic Perspectives.
• BONDT, G., MADDOLINI, A., PEYDRO, J.L., SCOPEL, S. (2010), The Euro Area Bank Lending Survey Matters: Empirical Evidence for Credit and Output Growth, European Central Bank Working Paper Series No. 1160.
• BRISSIMIS, S.N., GARGANAS, E.N., HALL, S.G. (2012), Consumer Credit In An Era Of Financial Liberalisation: An Overreaction To Repressed Demand?, Bank of Greece Eurosystem Workin Paper 148.
• BUSCH, U., SCHARNAGL, M., SCHEITHAUER, J. (2010), Loan Supply in Germany During the Financial Crisis, Discussion Paper Series 1 05/2010, Deutsche Bank
• CALZA A., MANRİQUE M., SAUSA, M. J. (2003), Aggregate Loans to the Euro Area Private Sector, ECB Working Paper 202.
• CANTOR, R., WENNINGER, J. (1993),Perspective on the Credit Slowdown, FRBNY Quarterly Review.
• CARPENTER, S., DEMIRALP, S., EISENSCHMIDT, J. (2013), The Effectiveness of the Non-Standard Policy Measures during the Financial Crises The Experiences of the Federal Reserve and the European Central Bank, Working Paper Series no 1562.
• CECCHETTI, S. G. (1995), Distinguishing Theories of the Monetary Transmission Mechanism, Federal Reserve Bank of St. Louis.
• CECCHETTI, S.G. (1995), Distinguishing theories of the Monetary Transmission Mechanism, Federal Reserve Bank of St. Louis, s. 92
• DELEIDI, M., FONTANA, G. (2020), Money Creation in the Eurozone: An Empirical Assessment of the Endogenous and the Exogenous Money Theories, Review of Political Economy.
• DERYUGINA, E., KOVALENKO, O., PANTINA, I., PONOMARENKO, Al. (2015), Disentangling Loan Demand and Supply Shocks in Russia, Bank of Finland Discussion Papers 8.
• DIEPPE, A., LEGRAND, R., ROYE, B. (2018), The Bayesian Estimation, Analysis and Regression (BEAR) Toolbox – Technical Guide, ECB.
• DISYATAT, P. (2010), The Bank Lending Channel Revisited, Journal of Money, Credit and Banking 43.
• FRIEDMAN, B. M. (1993), Comments on Perspective on the Credit Slowdown -The Minsky Cycle in Action: But Why?, FRBNY Quarterly Review.
• FRIEDMAN, B. M., KUTTNER, K. N. (1993), Economic Activity and the Short-term Credit Markets: An Analysis of Prices and Quantities, Brookings Papers on Economic Activity, 2.
• GAMBETTI, L., MUSSO, A. (2012), Loan Supply Shocks and The Business Cycle, ECB Working Paper Series No 1469.
• GIOVANE, P.D., ERAMO, G.E., NOBILI, A. N.(2010), Disentangling Demand and Supply in Credit Developments: A Survey-Based Analysis for Italy, Banca d'Italia Working Paper Series 764.
• IGNACIO, Hernando (2014), The Credit Channel in the Transmission of Monetary Policy the Case of Spain, BIS paper.
• HOFFMAN, B. (2001), The Determinants of Private Sector Credit in Industrialized Countries: Do Property Prices Matter?, BIS Working Paper 108
• HOLTEMOLLER, O. (2002), Further VAR Evidence for the Effectiveness of a Credit Channel in Germany, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
• HRISTOV, N., HULSEWIG, O., WOLLMERSHAUSER, T. (2011), Loan Supply Shocks During the Financial Crisis: Evidence for the Euro area, Cesifo Working Paper No. 3395.
• HUELSEWIG, O., MAYER, E., WOLLMERSHAEUSER, T. (2005), Bank Loan Supply and Monetary Policy Transmission in Germany: An Assessment Based on Matching Impulse Responses, CESIFO Working Paper No. 1380
• JAFFEE, D.M., RUSSELL T. (1976), Imperfect Information, Uncertainty, and Credit Rationing, Quarterly Journal of Economics 90.
• KAKES, J. (2000), Identifying the Mechanism: Is There a Bank Lending Channel of Monetary Transmission in the Netherlands?, Applied Economics Letters 7, 63-69.
• KASHYAP, A. K, STEIN, JEREMY, C. (1994), Monetary Policy and Bank Lending, in: Monetary Policy, ed. by Mankiw, Gregory N. Chicago: The University of Chicago Press for NBER.
• KASHYAP, A. K., STEIN, J. C. (1994), Monetary Policy and Bank Lending, in G. Mankiw (ed.), Monetary Policy, University of Chicago Press, Chicago.
• KASHYAP, A. K., STEIN, J. C., WILCOX, D. W. (1993), Monetary Policy and Credit Conditions: Evidence from the Composition of External Finance, American Economic Review, 83.
• KOTZÉ, K., Bayesian Vector Autoregression Models, https://kevinkotze.github.io/ts-9-bvar/#fn1 (Erişim Tarihi: 05/06/2021)
• LAVOIE, M. (1984), The Endogenous Flow of Credit and the Post Keynesian Theory of Money, Journal of Economic Issues 18 (3): 1984.
• LOWN, C., MORGAN, D. P. (2006), The Credit Cycle and the Business Cycle: New Findings Using the Loan Officer Opinion Survey, Journal of Money, Credit and Banking Vol. 38, No. 6, pp. 1575-1597
• LUTKEPOHL, H. (2005), New Introduction to Multiple Time Series Analysis, Springer Berlin Heidelberg New York, Berlin Heidelberg.
• MAHATHANASETH, I., TAUER, L.W. (2019), Monetary Policy Transmission Through the Bank Lending Channel in Thailand, Journal of Asian Economics 60, 14–32.
• MOORE, B.J. (1988), Horizontalists and Verticalists: The Macroeconomics of Credit Money, Cambridge University Press.
• MUMTAZ, H., RUMMEL, O. (2015), Centre For Central Banking Studies, Economic Modelling and Forecasting-Recent Developments in Structural VAR Modelling, Bank of England.
• OLINER, S., RUDEBUSCH, G. (1995), Is There a Bank Lending Channel for Monetary Policy?, Federal Reserve Bank of San Francisco Economic Review, 2.
• PALLEY, T. I. (1994), Competing Views of the Money Supply Process: Theory and Evidence, Metroeconomica, 45:1.
• PALLEY, T. I. (2015), The Theory of Endogenous Money Mechanism and Implications for Macroeconomic Analysis and Monetary Policy, Political Economy Research Institute.
• PEEK , J., ROSENGREN, E. S. (2013), The Role of Banks in the Transmission of Monetary Policy, Public Policy Discussion Papers, No. 13-5, Federal Reserve Bank of Boston.
• PEERSMAN, G. (2011), Bank Lending Shocks and the Euro Area Business Cycle, Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium.
• PEERSMAN, G.(2011), Bank Lending Shocks and the Euro Area Business Cycle, Ghent University Working Paper No. 766.
• POLLIN, R. (1991), Two Theories of Money Supply Endogeneity: Some Empirical Evidence, Journal of Post Keynesian Economic, Vol. 13, No. 3.
• SEVİNÇ, V., ERGÜN, G. (2009), Usage of Different Prior Distributions In BVAR Models, Hacettepe Journal of Mathematics and Statistics.
• SÓVÁGÓ, S. (2011), Identifying Supply and Demand in the Hungarian Corporate Loan Market, MNB Occasional Papers 94.
• SUZUKI, T. (2004), Is the Lending Channel of Monetary Policy Dominant in Australia?, The Economic Record, Vol. 80, Issue 249.
• THORNTON, D. L. (1994), Financial Innovation, Deregulation and the Credit View’ of Monetary Policy, Review, St. Louis: Federal Reserve Bank of St. Louis, No. 1.
• THORNTON, D.L. (1994), Financial Innovation, Deregulation and the Credit View’ of Monetary Policy, Review, St. Louis: Federal Reserve Bank of St. Louis, No. 1.
• UHLIG, H. (2005), What are the Effects of Monetary Policy on Output? Results from an Agnostic Identification Procedure, Journal of Monetary Economics 52.
• WERNER, Richard. A. (2014), Can Banks Individually Create Money Out of Nothing? The Theories and the Empirical Evidence, International Review of Financial Analysis 36.
• WERNER, R.A. (2014), How Do Banks Create Money, and Why Can Other Firms Not Do the Same? An Explanation for the Coexistence of Lending and Deposit-Taking, International Review of Financial Analysis 36.
• WERNER, Richard A. (2005), New Paradigm in Macroeconomics – Solving the Riddle of Japanese Macroeconomic Performance, Palgrave – Macmillan.