The effects of monetary policy shocks on bank loans

buir.advisorGürkaynak, Refet Soykan
dc.contributor.authorÖzçelikkale, Kaan
dc.date.accessioned2022-09-23T07:42:58Z
dc.date.available2022-09-23T07:42:58Z
dc.date.copyright2022-09
dc.date.issued2022-09
dc.date.submitted2022-09-21
dc.departmentDepartment of Economicsen_US
dc.descriptionCataloged from PDF version of article.en_US
dc.descriptionThesis (Master's): Bilkent University, Department of Economics, İhsan Doğramacı Bilkent University, 2022.en_US
dc.descriptionIncludes bibliographical references (leaves 29-30).en_US
dc.description.abstractThis 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.degreeM.A.en_US
dc.description.statementofresponsibilityby Kaan Özçelikkaleen_US
dc.format.extentix, 30 leaves : illustrations ; 30 cm.en_US
dc.identifier.itemidB161354
dc.identifier.urihttp://hdl.handle.net/11693/110584
dc.language.isoEnglishen_US
dc.publisherBilkent Universityen_US
dc.rightsinfo:eu-repo/semantics/openAccessen_US
dc.subjectFinancial markets and the macroeconomyen_US
dc.subjectMonetary policy shocksen_US
dc.subjectBank loansen_US
dc.titleThe effects of monetary policy shocks on bank loansen_US
dc.title.alternativePara politikası şoklarının banka kredilerine etkisien_US
dc.typeThesisen_US
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