scholarly journals Regional economic structure and heterogeneous effects of monetary policy: evidence from Indonesian provinces

2022 ◽  
Vol 11 (1) ◽  
Author(s):  
Harry Aginta ◽  
Masakazu Someya
Keyword(s):  
Monetary Policy ◽  
Manufacturing Sector ◽  
Bank Lending ◽  
Impulse Response Functions ◽  
Regional Economic ◽  
Vector Autoregressive ◽  
Heterogeneous Effects ◽  
Structural Variables ◽  
Monetary Policy Shock ◽  
The Impact

AbstractWe analyze how regional economic structures affect the impact of monetary policy on rates of inflation across 34 Indonesian provinces. The paper first applies structural factor augmented vector autoregressive model (SFAVAR) to all the 34 provinces based on monthly provincial data in order to measure the length and magnitude of responses of regional inflation to monetary policy shock, derived from the consequential impulse response functions of 34 provinces. In the second step, we analyze the impact of economic structures on the length and magnitude of regional inflationary responses of 34 provinces. We find that the impacts of monetary policy across regions are significantly influenced by economic structural variables such as manufacturing sector share to GDP, mining sector share to GDP, bank lending share to GDP and export share to GDP. In addition, we found the spatial lag, rate of inflation of neighboring provinces, is also statistically significant. In a similar fashion, economic structural variables such as manufacturing sector share to GDP, construction sector share to GDP and investment share to GDP are found statistically significant in explaining regional differences of monetary policy efficiency. Our findings imply economic structures of provinces have to be incorporated to designing monetary policy in Indonesia.

Monetary Policy Pass-through, Ownership and Crisis: How Robust is the Indian Evidence?

2021 ◽  
Vol 15 (4) ◽  
pp. 456-483
Author(s):  
Jugnu Ansari ◽  
Saibal Ghosh
Keyword(s):  
Monetary Policy ◽  
Interest Rate ◽  
Bank Lending ◽  
Loan Pricing ◽  
Lending Channel ◽  
Private Banks ◽  
Monetary Policy Shock ◽  
Pass Through ◽  
The Interest Rate ◽  
The Impact

Employing disaggregated data for 2001–2016, this study investigates the lending and loan pricing behaviour of state-owned and domestic private banks in response to monetary policy. Three major findings emerge. First, although both the interest rate and the bank lending channels are relevant for monetary pass-through, there is a trade-off: the impact of the former is much higher than the latter, although it occurs with a significant lag. Second, domestic private banks have a far greater response to a monetary policy shock under the interest rate channel, whereas state-owned banks display a greater response under the bank-lending channel. And finally, state-owned banks cut back lending during periods of crises, although no such response is manifest in domestic private banks. JEL Codes: C23, D4, E43, E52, G21, L10

scholarly journals The Sectoral Impact of Monetary Policy Transmission in India: A Panel VAR Approach

2019 ◽  
Vol 5 (1) ◽  
pp. 63-77
Author(s):  
Taniya Ghosh
Keyword(s):  
Monetary Policy ◽  
Interest Rate ◽  
Weak Link ◽  
Bank Lending ◽  
Panel Var ◽  
Informal Credit ◽  
Long Run ◽  
Monetary Policy Shock ◽  
The Impact ◽  
Panel Vector Autoregression

A structural panel vector autoregression (VAR) analysis is done to analyze the impact of monetary policy shock on people associated with various occupations. To understand the efficacy of bank lending channel, it is important to capture the differential occupation-wise effect of interest rate. The article finds that due to a monetary policy shock, the impulse responses capture the movement of loans in theoretically expected direction in most cases. The Granger causality tests successfully establish the long-run relationship between loans and interest rate. Also, the empirical results of good-performing states support the direct link between greater financial penetration and higher economic activity. Monetary policy shock significantly affects the lending behavior in all the sectors, except in agriculture and personal loans sector. The weak link of transmission in these sectors is mainly attributed either to lack of access to formal credit or a preference to informal credit sources over banks.

scholarly journals The Impact of Banking Policies to the Macroprudential Policy

JEJAK ◽  
2020 ◽  
Vol 13 (2) ◽  
pp. 367-380
Author(s):  
Desy Kharohmayani ◽  
Sudarso Kaderi Wiryono
Keyword(s):  
Impulse Response ◽  
Financial Stability ◽  
Principal Component ◽  
Extended Period ◽  
Impulse Response Functions ◽  
Macroeconomic Shocks ◽  
Vector Autoregressive ◽  
Short Run ◽  
Monetary Policy Shock ◽  
The Impact

The interaction between banks and macroeconomics is of crucial importance to financial stability. This study aims to answer the question of how macroeconomic shocks are transmitted to banking variables or vice versa. The study investigated the impact of the banking policies, the principal component of analysis (PCA) of banking quality indicators (CAMEL), and BI's rate to the aggregate of GDP and GDP priority sectors. The methodology used is the Factor Augmented Vector Autoregressive (FAVAR) model to observe the endogeneity of the observed variables. The results show that there is substantial heterogeneity in the transmission of macroeconomic shocks, caused by CAR, CAMEL and BI rate. In the short run, we find that the impulse response functions of aggregate GDP and GDP per sector of priority to the shock of the CAR decrease and close to zero in the long term. Our findings align with the expected effects that the CAMEL has implications to the decline of GDP of priority sector. Finally, we find that the impulse response of aggregate GDP and GDP of the priority sector to monetary policy shock decreases in the short run and near to zero in the more extended period

scholarly journals Role of Zakat as Social Finance Catalyst to Islamic Banking and Economic Growth

2017 ◽  
Vol 2 (2) ◽  
pp. 55-70 ◽  
Author(s):  
Ai Nur Bayinah
Keyword(s):  
Economic Growth ◽  
Positive Impact ◽  
Islamic Banking ◽  
Annual Data ◽  
Impulse Response Functions ◽  
Islamic Banks ◽  
West Java ◽  
Vector Autoregressive ◽  
The Impact ◽  
Integration Analysis

This paper is aimed to assess the contribution of Zakat in boosting Islamic banks’ financing and economic growth for the period 2011-2015, in 10 district/city of West Java Province, Indonesia. Through Vector Autoregressive (VAR) panel co-integration analysis, variance decompositions (VD) and impulse response functions (IRF), this study investigates Zakat, Islamic Banking, and economic growth nexus. Findings in this research highlight that Zakat has a significant impact on Islamic banking, so this institution would contribute to economic growth both in the short and the long run, with fluctuation in variance from the first year. The results lend support to the view that Zakat not only leads to social benefits but also has a positive impact on the economy through increasing Islamic banks’ financing. Therefore, this research will serve as a motivation for the industry players and regulators to continuously promote Zakat as a strategic policy. The originality of this research is to assess Zakat-led growth and finance by analyzing the impact of Zakat on the Islamic banking and regional economic outcome. Another novel aspect of this study is in the methodology as it employs VAR panel co-integration analysis, VDs and IRFs on the set of annual data. Keywords: Zakat, Islamic Banking Financing, Economic Growth, West Java

Three essays on China's housing market, monetary policy and macroeconomy

2019 ◽  
Author(s):  
◽  
Yifeng Jia
Keyword(s):  
Monetary Policy ◽  
Housing Market ◽  
Negative Impact ◽  
House Price ◽  
Housing Price ◽  
Policy Instruments ◽  
Heterogeneous Effects ◽  
Price Appreciation ◽  
Economic Stimulus ◽  
Monetary Policy Shock

[ACCESS RESTRICTED TO THE UNIVERSITY OF MISSOURI AT REQUEST OF AUTHOR.] This dissertation studies China's housing market and macroeconomic activity with a strong focus on the role of monetary policy behind the markets. The first two chapters concentrate on the house price dynamics in China. Chapter 1 examines the in influence of monetary policy on China's housing price fluctuation by estimating a VAR model with China's aggregated house price data from 1998Q1 to 2015Q4. The monetary policy shock is identify ed by the sign restriction approach following Uhlig (2005), with the identification assumptions extended to three common policy instruments utilized by the central bank of China: interest rate, required reserve ratio and M2. The results suggest a negative impact of a contractionary monetary policy shock on the house price, and M2 tends to be the most effective monetary instruments in terms of policy transmission. The framework is also extended to examine the link between China's 2008 government economic stimulus plan and the subsequent house price appreciation. The obtained evidence suggests that the economic stimulus props up the house price, but its contribution to the post-2008 house price appreciation is not as prominent as indicated by other relevant studies. However, this discrepancy may be explained by the heterogeneous effects of the stimulus policy on local housing markets across China

TRANSMISSION OF MONETARY POLICY SHOCKS: DO INPUT–OUTPUT INTERACTIONS MATTER?

2019 ◽  
Vol 24 (8) ◽  
pp. 1881-1903
Author(s):  
Aarti Singh ◽  
Stefano Tornielli Di Crestvolant
Keyword(s):  
Monetary Policy ◽  
Spillover Effects ◽  
Intermediate Goods ◽  
Input Output ◽  
Monetary Policy Shocks ◽  
Vector Autoregressive ◽  
Policy Shocks ◽  
Monetary Policy Shock ◽  
New Evidence ◽  
Transmission Of Monetary Policy

We examine whether input–output interactions among industries impact the transmission of monetary policy shocks through the economy. Using vector autoregressive (VAR) methods we find evidence of heterogeneity in the output response to a monetary policy shock in both finished goods industries and intermediate goods industries. While output responses in finished goods industries can be related to heterogeneity in industry characteristics, this relationship is not so obvious for intermediate goods industries. For the intermediate goods industries in our sample, we find new evidence of demand-spillover effects that impact the transmission of monetary policy via input–output linkages.

What Do a Million Observations on Banks Say About the Transmission of Monetary Policy?

2000 ◽  
Vol 90 (3) ◽  
pp. 407-428 ◽  
Author(s):  
Anil K Kashyap ◽  
Jeremy C Stein
Keyword(s):  
Monetary Policy ◽  
Bank Lending ◽  
Monetary Transmission ◽  
Bank Lending Channel ◽  
Data Set ◽  
Balance Sheets ◽  
Lending Channel ◽  
The Impact ◽  
Transmission Of Monetary Policy ◽  
Quantitative Importance

We study the monetary-transmission mechanism with a data set that includes quarterly observations of every insured U.S. commercial bank from 1976 to 1993. We find that the impact of monetary policy on lending is stronger for banks with less liquid balance sheets—i.e., banks with lower ratios of securities to assets. Moreover, this pattern is largely attributable to the smaller banks, those in the bottom 95 percent of the size distribution. Our results support the existence of a “bank lending channel” of monetary transmission, though they do not allow us to make precise statements about its quantitative importance. (JEL E44, E52, G32)

Sign in / Sign up

Export Citation Format

Share Document