BANK CAPITAL AND MACROECONOMIC SHOCKS: A PRINCIPAL COMPONENTS ANALYSIS AND VECTOR ERROR CORRECTION MODEL

Yıl 2011, Cilt: 3 Sayı: 2, 69 - 77, 01.12.2011

Christian Nzengue Pegnet Ibrahim Faycal Fofana

Öz

The recent financial turmoil has clearly highlighted the potential role of financial factors on amplification of macroeconomic developments and stressed the importance of analyzing the relationship between banks’ balance sheets and economic activity. This paper assesses the impact of the bank capital channel in the transmission of schocks in Europe on the basis of bank's balance sheet data. The empirical analysis is carried out through a Principal Component Analysis and in a Vector Error Correction Model

Anahtar Kelimeler

Bank Capital Channel, Shocks Transmission, Principal Component Analysis, Non-stationary panel.

Kaynakça

• Angeloni, I., A. Kashyap, B. Mojon and D. Terlizzese (2002), « Monetary
• Transmission in the Euro Area: Where Do We Stand? », ECB Working Paper, No. , European Central Bank, Frankfurt. Badarau-Semenescu, C. and G. Levieuge (2010), « Assessing the Potential
• Strength of a Bank Capital Channel in Europe: A Principal Component Analysis », The Review of Finance and Banking, Vol. 02, Issue 1, pp. 5-16. Bernanke, B. and A.S. Blinder (1988), « Credit, Money and Aggregate Demand »,
• American Economic Review, Vol. 78, pp. 435-39. Bernanke, B. and M. Gertler (1995), « Inside the Black Box: The Credit Channel of Monetary Transmission Mechanism », Journal of Economic Perspectives, Vol. , pp. 27-48.
• Breitung, J. (2000), “The Local Power of Some Unit Root Tests for Panel Data”,
• Advances in Econometrics, 15, Nonstationary Panels, Panel cointegration, and Dynamic Panels, Amsterdam: JAI Press, p. 161–178. Choi, I. (2001), “Unit Root Tests for Panel Data”, Journal of International Money and Finance, 20, p. 249–272.
• De Bondt, G. J (1999), « Credit Channels in Europe: A Cross-Country
• Investigation », Banca Nazionale del Lavoro Quarterly Review 210, pp. 295-326. de Mello, L. and M. Pisu (2009), « The Bank Lending Channel of Monetary
• Transmission in Brazil: A VECM Approach », OECD Economics Department Working Papers, No. 711, OECD Publishing. Engle R., Granger C. (1987), « co integration and error correction:
• Representation, estimation and testing », Econometrica, vol 55. Johansen, S (1988), “Statistical analysis of cointégration vectors”, Journal of
• Economic Dynamics and Control, 12(2-3), pp. 231-254. Hadri, K., 2000. Testing for Stationarity in Heterogeneous Panel Data,
• Econometric Journal, 3, p. 148–161. Hülsewig, O., P. Winker and A. Worms (2002), « Bank Lending in the Transmission of Monetary policy: A VECM Analysis for Germany », unpublished manuscript, University of Würzburg, Würzburg.
• Hurlin, C. et V. Mignon (2007), « Une synthèse des tests de cointégration sur données de panel », Économie et Prévision, No. 180-181, pp. 241-265.
• Im, K.S., Pesaran, M.H., and, Shin, Y., (2003), « Testing for Unit Roots in
• Heterogeneous Panels”, Journal of Econometrics, 115, p. 53–74. Johansen, S. (1988) « Statistical Analysis of cointegration Vectors », Journal of Economic Dynamics and Control 12, 231-254.
• Kaiser, H.F. (1960), “The application of electronic computers to factor analysis”,
• Educational and Psychological Measurement, 20, 141-151. Kashyap, A.K. and J.C. Stein (1995), « The Impact of Monetary Policy on Bank
• Balance Sheets », Carnegie-Rochester Conference Series on Public Policy, Vol. , pp. 151-95. 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, Vol. 90, pp. 407-28. Levin, A., Lin, C.F. and Chu, C., 2002. “Unit Root Tests in Panel Data:
• Asymptotic and Finite sample Properties”, Journal of Econometrics, 108, p. 1–24. Maddala, G.S. and Wu, S., 1999. “A Comparative Study of Unit Root Tests with
• Panel Data and A New Simple Test”, Oxford Bulletin of Economics and Statistics, , p. 631-652. Meh C. and K. Moran (2010), “The role of bank capital in the propagation of shocks”, Journal of Economic Dynamics and Control, 34 (3), 555-576.
• Pariès, M.D., C.K. Sorensen and D.R.Palenzuela (2010), “Macroeconomic propagation under different regulatory regimes: Evidence from an estimated
• DSGE model for the euro area”, European Central Bank, Working paper n°1251.
• Peek, J., and E. S. Rosengreen (1995), « Bank Lending and the Transmission of
• Monetary Policy », (In: J. Peek and E. S. Rosengreen-Ed, Is Bank Lending Important for the Transmission of Monetary Policy?), vol. 39 of Federal Reserve Bank of Boston Conference Series, Boston pp. 47-68. Van den Heuvel, S.J. (2002), « Does Bank Capital Matter for Monetary
• Transmission? », Economic Policy Review, Vol. 8, pp. 259-65. Van den Heuvel, S.J. (2006), « The Bank Capital Channel of Monetary », 2006
• Meeting Papers 512, Society for Economic Dynamics.