Browsing by Subject "Monetary policy shocks"

Filter results by typing the first few letters
Now showing 1 - 1 of 1
  • Thumbnail Image
    ItemOpen Access
    The effects of monetary policy shocks on bank loans
    (2022-09) Özçelikkale, Kaan
    This thesis examines the effects of monetary policy shocks on bank loans. I use a vector autoregression (VAR) model with external instrument identification, which is constructed using high-frequency analysis. Gertler and Karadi (2015) methodology is followed. I also consider the information effects and employ the surprises, which are measured by Miranda-Agrippino and Ricco (2021). I find that contractionary monetary policy shocks have significant negative effects on bank loans. The commercial loans growth statistically significantly drops both immediately after the contractionary monetary policy shock and a year after the shock. On the other hand, the consumer and real estate loans growths modestly decrease but it is not statistically significant. Since some of the findings indicate a statistically insignificant decrease in the growth, I also check the response of the credit stocks. There are significant drops in all the credit stocks at least for some periods. Lastly, I show that the findings are robust to the sample period, adding a new variable and the policy indicator. All the findings are consistent with the theory and literature.