The effects of monetary policy shocks on bank loans
| buir.advisor | Gürkaynak, Refet Soykan | |
| dc.contributor.author | Özçelikkale, Kaan | |
| dc.date.accessioned | 2022-09-23T07:42:58Z | |
| dc.date.available | 2022-09-23T07:42:58Z | |
| dc.date.copyright | 2022-09 | |
| dc.date.issued | 2022-09 | |
| dc.date.submitted | 2022-09-21 | |
| dc.description | Cataloged from PDF version of article. | en_US |
| dc.description | Thesis (Master's): Bilkent University, Department of Economics, İhsan Doğramacı Bilkent University, 2022. | en_US |
| dc.description | Includes bibliographical references (leaves 29-30). | en_US |
| dc.description.abstract | 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. | en_US |
| dc.description.provenance | Submitted by Betül Özen (ozen@bilkent.edu.tr) on 2022-09-23T07:42:58Z No. of bitstreams: 1 B161354.pdf: 546569 bytes, checksum: c9afd71bc4627b74b6eb5f6bb7933812 (MD5) | en |
| dc.description.provenance | Made available in DSpace on 2022-09-23T07:42:58Z (GMT). No. of bitstreams: 1 B161354.pdf: 546569 bytes, checksum: c9afd71bc4627b74b6eb5f6bb7933812 (MD5) Previous issue date: 2022-09 | en |
| dc.description.statementofresponsibility | by Kaan Özçelikkale | en_US |
| dc.format.extent | ix, 30 leaves : illustrations ; 30 cm. | en_US |
| dc.identifier.itemid | B161354 | |
| dc.identifier.uri | http://hdl.handle.net/11693/110584 | |
| dc.language.iso | English | en_US |
| dc.rights | info:eu-repo/semantics/openAccess | en_US |
| dc.subject | Financial markets and the macroeconomy | en_US |
| dc.subject | Monetary policy shocks | en_US |
| dc.subject | Bank loans | en_US |
| dc.title | The effects of monetary policy shocks on bank loans | en_US |
| dc.title.alternative | Para politikası şoklarının banka kredilerine etkisi | en_US |
| dc.type | Thesis | en_US |
| thesis.degree.discipline | Economics | |
| thesis.degree.grantor | Bilkent University | |
| thesis.degree.level | Master's | |
| thesis.degree.name | MA (Master of Arts) |