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      Asymmetric effects of central bank funding on commercial banking sector behaviour

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      Author(s)
      Şahin, A.
      Berument, Hakan
      Date
      2019-02
      Source Title
      Asymmetric effects of central bank funding on commercial banking sector behaviour
      Print ISSN
      1331-677X
      Electronic ISSN
      1848-9664
      Publisher
      Taylor & Francis
      Volume
      32
      Issue
      1
      Pages
      128 - 147
      Language
      English
      Type
      Article
      Item Usage Stats
      158
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      147
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      Abstract
      In this paper, we assess the effects of Central Bank Funding (C.B.F.) on commercial bank lending behaviour by using weekly Turkish data from 7 January 2011 to 5 June 2015. To be specific, using the Nonlinear Autoregressive Distributed Lag Error Correction Model, we assess the effects of C.B.F. provided daily by the Central Bank of the Republic of Turkey through Open Market Operations to financial markets. Our empirical evidence reveals that for all types of lending, an increase in C.B.F. (which has a higher cost for commercial banks relative to alternatives) forces commercial banks to borrow from higher-cost channels, i.e., we find that increasing C.B.F. discourages commercial bank lending. We also find that decreases in C.B.F. that proxy what commercial banks can borrow more cheaply from alternative sources increase commercial bank lending. However, increasing C.B.F. is more effective than decreasing C.B.F. for Total Bank Loans, Total Credit Cards and Automobile Loans, and decreasing C.B.F. is more effective in the short run for Consumption Loans, Housing Loans and Commercial Loans: short-run asymmetry. Therefore, we can report only limited support for long-run asymmetry, and consequently, claim that there is magnitude (an increase versus decrease in C.B.F.) and category asymmetry (across different lending categories).
      Keywords
      Monetary policy
      Central banking
      Central bank funding
      NARDL-ECM
      Permalink
      http://hdl.handle.net/11693/53467
      Published Version (Please cite this version)
      https://dx.doi.org/10.1080/1331677X.2018.1552174
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      • Department of Economics 724
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