Bank lending mechanism of monetary policy transmission The role of bank capital, bank competition, and financial development

Bank lending mechanism of monetary policy transmission The role of bank capital, bank competition, and financial developmentBank lending mechanism of monetary policy transmission The role of bank capital, bank competition, and financial developmentBank lending mechanism of monetary policy transmission The role of bank capital, bank competition, and financial developmentBank lending mechanism of monetary policy transmission The role of bank capital, bank competition, and financial developmentBank lending mechanism of monetary policy transmission The role of bank capital, bank competition, and financial developmentBank lending mechanism of monetary policy transmission The role of bank capital, bank competition, and financial developmentBank lending mechanism of monetary policy transmission The role of bank capital, bank competition, and financial developmentBank lending mechanism of monetary policy transmission The role of bank capital, bank competition, and financial developmentBank lending mechanism of monetary policy transmission The role of bank capital, bank competition, and financial developmentBank lending mechanism of monetary policy transmission The role of bank capital, bank competition, and financial developmentBank lending mechanism of monetary policy transmission The role of bank capital, bank competition, and financial developmentBank lending mechanism of monetary policy transmission The role of bank capital, bank competition, and financial developmentBank lending mechanism of monetary policy transmission The role of bank capital, bank competition, and financial developmentBank lending mechanism of monetary policy transmission The role of bank capital, bank competition, and financial developmentBank lending mechanism of monetary policy transmission The role of bank capital, bank competition, and financial developmentBank lending mechanism of monetary policy transmission The role of bank capital, bank competition, and financial developmentBank lending mechanism of monetary policy transmission The role of bank capital, bank competition, and financial developmentBank lending mechanism of monetary policy transmission The role of bank capital, bank competition, and financial developmentBank lending mechanism of monetary policy transmission The role of bank capital, bank competition, and financial developmentBank lending mechanism of monetary policy transmission The role of bank capital, bank competition, and financial developmentBank lending mechanism of monetary policy transmission The role of bank capital, bank competition, and financial developmentBank lending mechanism of monetary policy transmission The role of bank capital, bank competition, and financial developmentBank lending mechanism of monetary policy transmission The role of bank capital, bank competition, and financial development

MINISTRY OF EDUCATION AND TRAINING UNIVERSITY OF ECONOMICS HO CHI MINH CITY NGUYEN THANH PHUC BANK LENDING MECHANISM OF MONETARY POLICY TRANSMISSION: THE ROLE OF BANK CAPITAL, BANK COMPETITION, AND FINANCIAL DEVELOPMENT Major: Finance and Banking Code: 9340201 DOCTORAL DISSERTATION ACADEMIC ADVISOR: Professor Dr TRAN NGOC THO Ho Chi Minh City – 2023 i STATEMENT OF AUTHENTICATION I declare that the content in the current thesis entitled “Bank Lending Mechanism of Monetary Policy Transmission: The Role of Bank Capital, Bank Competition, and Financial Development” is original and has not been submitted or published in any form elsewhere All sources of information from any products or studies used in this thesis have been appropriately cited, any contributions made by others have been acknowledged, and all efforts have been made to ensure the accuracy of the data presented This thesis has never been submitted to any university or institution Ho Chi Minh City, 2023 ii ACKNOWLEDGEMENT In an academic journey to completing this thesis, I would like to express my sincere gratitude to all those who have contributed to this thesis First and foremost, I would like to extend my utmost thanks to my academic advisor, Prof Dr Tran Ngoc Tho, for his unwavering support, guidance, and encouragement throughout my thesis I would also like to extend my gratitude to Dr Dinh Thi Thu Hong for providing me with constructive suggestions, resources and facilities to carry out my research Thank you is just insufficient for what they have provided I am also grateful for constructive comments and suggestions from Dr Ho Thi Lam, Assoc Prof Dr Vuong Quoc Duy, and Assoc Prof Dr Tran Quoc Trung greatly improves this thesis version I want to extend my heartfelt thanks to my family and friends for their constant support and encouragement I would also like to thank my dearest colleagues and co-authors at my university for their valuable suggestions and assistance throughout my research journey Finally, I would like to acknowledge the contributions of all those who have directly or indirectly at the University of Economics Ho Chi Minh City (UEH) influenced my research This thesis would not have been possible without their assistance and support Thank you all so much for your kind appreciation Ho Chi Minh City, April 2023 Nguyen Thanh Phuc iii TABLE OF CONTENT STATEMENT OF AUTHENTICATION i ACKNOWLEDGEMENT .ii TABLE OF CONTENT iii ABBREVIATIONS vii LIST OF TABLES viii LIST OF FIGURES i ABSTRACT .ii TÓM TẮT .iv CHAPTER 1: INTRODUCTION 1.1 Research background 1.1.1 The main focus on the bank lending channel of monetary policy transmission 1.1.2 The role of bank capital in monetary policy transmission 1.1.3 The dependence of monetary policy pass-through on market structure 1.1.4 The impact of monetary policy transmission depending on financial development 1.2 Research motivations and research gaps 1.2.1 The “Black box” of monetary policy transmission: The need for further research 1.2.2 Aggregated data versus disaggregated data 1.2.3 The role of bank-specific heterogeneity on monetary policy transmission: The case of bank capital 11 1.2.4 Other determinants of bank lending mechanism: The role of bank competition and financial development 13 1.2.5 The case of Vietnam: Fertile laboratory to investigate 15 iv 1.2.6 Research problem 20 1.3 Research objectives 21 1.4 Research questions 22 1.5 Research scope 23 1.6 Research methodology 23 1.7 Research contributions 24 1.8 Structure of thesis 26 CHAPTER 2: LITERATURE REVIEW AND HYPOTHESES DEVELOPMENT 29 2.1 Bank lending mechanism of monetary policy transmission 29 2.1.1 Introduction to the bank lending channel of monetary policy 29 2.1.2 Theoretical perspective on the presence of bank lending mechanism of monetary policy transmission 31 2.1.3 Empirical research on bank lending mechanism of monetary policy transmission 36 2.1.4 Hypothesis of the presence of bank lending channel 41 2.2 The impact of bank capital on bank loan supply of monetary policy transmission 42 2.2.1 Introduction to the role of bank capital 42 2.2.2 Theoretical perspectives for the role of bank capital in driving monetary policy transmission 45 2.2.3 Empirical research 47 2.2.4 Hypothesis for the heterogeneous effect of bank capital on monetary policy transmission 50 2.3 The effect of bank competition on bank loan supply of monetary policy transmission 51 2.3.1 Introduction to the role of bank competition 51 v 2.3.2 Theoretical perspectives for the role of bank competition in determining monetary policy transmission 52 2.3.3 Empirical research 55 2.3.4 Hypothesis for the dependence of monetary policy transmission via bank lending mechanism on bank competition 60 2.4 The response of bank loan supply to monetary policy shocks depending on financial development 61 2.4.1 Introduction to the role of financial development 61 2.4.2 Theoretical perspectives for the role of financial development in shaping monetary policy transmission 62 2.4.3 Empirical research 64 2.4.4 Hypothesis for the dependence of monetary policy transmission via bank lending mechanism on financial development 69 2.5 Chapter summary 69 CHAPTER 3: RESEARCH DATA AND METHODOLOGY 74 3.1 Data descriptions 74 3.2 Model and variable construction 78 3.2.1 Baseline model for Hypothesis 1: The existence of the bank lending mechanism 78 3.2.2 Developed model for Hypothesis 2: Capturing the heterogeneous effect of monetary policy through bank capital 85 3.2.3 Developed model for Hypothesis 3: Capturing the distributional effect of monetary policy through bank competition 89 3.2.4 Developed model for Hypothesis 4: Capturing the distributional effect of monetary policy through financial development 91 3.3 Econometric regression estimations 96 3.4 Chapter summary 101 CHAPTER 4: EMPIRICAL FINDINGS AND DISCUSSION 104 vi 4.1 Descriptive statistics 104 4.2 Matrix of pairwise correlation among variables 106 4.3 Empirical findings 109 4.3.1 Evidence on the existence of bank lending mechanism of monetary policy transmission 109 4.3.2 Evidence on the marginal effect of monetary policy on bank loan supply with various levels of bank capital 114 4.3.3 Evidence on the distributional effect of monetary policy through the degree of bank competition 124 4.3.4 Evidence on the distributional effect of monetary policy through financial development 133 4.4 Chapter summary 143 CHAPTER 5: CONCLUSION 145 5.1 Summary of research findings 145 5.2 Contributions 147 5.3 Research recommendations 150 5.4 Limitations and suggestions for future research 153 LIST OF PUBLICATIONS i REFERENCES ii APPENDIX xxiv vii ABBREVIATIONS Words AR ASEAN Meanings Autoregression Association of South East Asian Nations BLM Bank Lending Mechanism BSC Balance Sheet Channel CPA Component Principal Analysis GMM Generalized Method of Moments HHI IO IS-LM MP Hirschman Herfindahl Index Industrial Organization Investment Savings-Liquidity Preference-Money Supply Monetary Policy MPT Monetary Policy Transmission SBV State Bank of Vietnam S-GMM Two-step System Generalized Method of Moments SMEs Small and Medium-sized Enterprises VAR Vector Autoregression WDI World Development Indicator viii LIST OF TABLES Table 2.1: Fundamental pathways through which the impact of monetary policy on bank lending is explained 35 Table 2.2: Empirical evidence on the existence of the bank lending channel 39 Table 2.3: Empirical research on the bank lending mechanism of monetary policy transmission and banking market structure 58 Table 2.4: Empirical research on the bank lending mechanism of monetary policy transmission and financial development 67 Table 3.1: Main variable definitions 93 Table 4.1: Descriptive statistics for studied variables 106 Table 4.2: Pairwise correlation between variables 108 Table 4.3: Regression results for the existence of bank lending mechanism with REFI as changes in monetary policy indicator 111 Table 4.4: Regression results for the existence of bank lending mechanism with REDIS as changes in monetary policy indicator 112 Table 4.5: Regression results for the existence of bank lending mechanism with VNIBOR as changes in monetary policy indicator 113 Table 4.6: Regression results for the heterogeneous effect of monetary policy through bank capital with REFI as changes in monetary policy indicator 120 Table 4.7: Regression results for the heterogeneous effect of monetary policy through bank capital with REDIS as changes in monetary policy indicator 121 Table 4.8: Regression results for the heterogeneous effect of monetary policy through bank capital with VNIBOR as changes in monetary policy indicator 122 ix Table 4.9: Regression results for the distributional effect of monetary policy through the Lerner index with REFI as changes in monetary policy indicator 127 Table 4.10: Regression results for the distributional effect of monetary policy through the Lerner index with REDIS as changes in monetary policy indicator 128 Table 4.11: Regression results for the distributional effect of monetary policy through the Lerner index with VNIBOR as changes in monetary policy indicator 129 Table 4.12: Regression results for the distributional effect of monetary policy through HHI with REFI as changes in monetary policy indicator 130 Table 4.13: Regression results for the distributional effect of monetary policy through HHI with REDIS as changes in monetary policy indicator 131 Table 4.14: Regression results for the distributional effect of monetary policy through HHI with VNIBOR as changes in monetary policy indicator 132 Table 4.15: Regression results for the distributional effect of monetary policy through stock market development (CMD) with REFI as changes in monetary policy indicator 137 Table 4.16: Regression results for the distributional effect of monetary policy through stock market development (CMD) with REDIS as changes in monetary policy indicator 138 Table 4.17: Regression results for the distributional effect of monetary policy through stock market development (CMD) with VNIBOR as changes in monetary policy indicator 139 Table 4.18: Regression results for the distributional effect of monetary policy through the ratio of domestic credit to private sector to GDP (CPS) with REFI as changes in monetary policy indicator 140 lxii  The distributional effect of monetary policy through financial development (measured by CPS) ► REFI as a monetary policy indicator Dynamic panel-data estimation, two-step system GMM -Group variable: bank Number of obs = 349 Time variable : year Number of groups = 30 Number of instruments = 28 Obs per group: = F(11, 29) = 154.40 avg = 11.63 Prob > F = 0.000 max = 12 LG | Coef Std Err t P>|t| [95% Conf Interval] + -LG | L1 | 1647654 0341674 4.82 0.000 0948853 2346455 | N_DREFI | -7.8106 2.25294 -3.47 0.002 -12.41838 -3.202821 CPS | -.3053948 0608514 -5.02 0.000 -.4298499 -.1809398 | c.N_DREFI#c.CPS | 0667357 0245413 2.72 0.011 0165431 1169282 | CAP_Nor | L1 | 3.139486 4358939 7.20 0.000 2.247983 4.030989 | SIZE_Nor | L1 | -2.3044 2.545943 -0.91 0.373 -7.511438 2.902638 | LIQ_Nor | L1 | 4617242 1701849 2.71 0.011 113657 8097914 | LLP_Nor | L1 | 7.136475 3.56436 2.00 0.055 -.1534587 14.42641 | STATE | 7.347171 5.608176 1.31 0.200 -4.122837 18.81718 STRESS | -8.305586 2.560559 -3.24 0.003 -13.54252 -3.068655 GDPG | 9696787 6309167 1.54 0.135 -.3206908 2.260048 _cons | 61.20474 7.858245 7.79 0.000 45.13282 77.27665 Arellano-Bond test for AR(1) in first differences: z = -3.45 Pr > z = 0.001 Arellano-Bond test for AR(2) in first differences: z = -1.23 Pr > z = 0.218 -Sargan test of overid restrictions: chi2(16) = 16.17 Prob > chi2 = 0.441 (Not robust, but not weakened by many instruments.) Hansen test of overid restrictions: chi2(16) = 18.42 Prob > chi2 = 0.300 (Robust, but weakened by many instruments.) lxiii ► REDIS as a monetary policy indicator Dynamic panel-data estimation, two-step system GMM -Group variable: bank Number of obs = 349 Time variable : year Number of groups = 30 Number of instruments = 28 Obs per group: = F(11, 29) = 173.63 avg = 11.63 Prob > F = 0.000 max = 12 -LG | Coef Std Err t P>|t| [95% Conf Interval] -+ -LG | L1 | 1631955 0334745 4.88 0.000 0947324 2316587 | N_DREDIS | -8.97111 2.766103 -3.24 0.003 -14.62843 -3.313795 CPS | -.3222057 0620746 -5.19 0.000 -.4491625 -.1952489 | c.N_DREDIS#c.CPS | 0796569 0295608 2.69 0.012 0191982 1401156 | CAP_Nor | L1 | 3.005875 4534507 6.63 0.000 2.078464 3.933286 | SIZE_Nor | L1 | -2.418315 2.513081 -0.96 0.344 -7.558142 2.721512 | LIQ_Nor | L1 | 4857664 1737919 2.80 0.009 1303221 8412107 | LLP_Nor | L1 | 7.507615 3.562813 2.11 0.044 2208434 14.79439 | STATE | 6.977616 5.555561 1.26 0.219 -4.384782 18.34001 STRESS | -9.446632 2.460655 -3.84 0.001 -14.47924 -4.414028 GDPG | 9581933 6178992 1.55 0.132 -.3055524 2.221939 _cons | 63.66955 8.100711 7.86 0.000 47.10173 80.23736 -Arellano-Bond test for AR(1) in first differences: z = -3.49 Pr > z = 0.000 Arellano-Bond test for AR(2) in first differences: z = -1.20 Pr > z = 0.229 -Sargan test of overid restrictions: chi2(16) = 16.16 Prob > chi2 = 0.442 (Not robust, but not weakened by many instruments.) Hansen test of overid restrictions: chi2(16) = 18.62 Prob > chi2 = 0.289 (Robust, but weakened by many instruments.) lxiv ► VNIBOR as a monetary policy indicator Dynamic panel-data estimation, two-step system GMM -Group variable: bank Number of obs = 379 Time variable : year Number of groups = 30 Number of instruments = 27 Obs per group: = F(11, 29) = 199.79 avg = 12.63 Prob > F = 0.000 max = 13 -LG | Coef Std Err t P>|t| [95% Conf Interval] -+ -LG | L1 | 2780352 0383091 7.26 0.000 1996843 356386 | DVNIBOR3 | -8.434222 4.052686 -2.08 0.046 -16.7229 -.1455491 CPS | -.1064749 0437359 -2.43 0.021 -.1959249 -.0170249 | c.DVNIBOR3#c.CPS | 0775092 0402905 1.92 0.064 -.004894 1599124 | CAP_Nor | L1 | 3.330865 6122416 5.44 0.000 2.07869 4.583039 | SIZE_Nor | L1 | -4.030009 2.246344 -1.79 0.083 -8.6243 5642809 | LIQ_Nor | L1 | 0775326 1929261 0.40 0.691 -.3170456 4721108 | LLP_Nor | L1 | 8.428653 2.936812 2.87 0.008 2.422198 14.43511 | STATE | 13.01266 4.270443 3.05 0.005 4.278624 21.7467 STRESS | -9.452453 3.356111 -2.82 0.009 -16.31647 -2.588436 GDPG | 1.162225 6365753 1.83 0.078 -.1397176 2.464168 _cons | 31.8865 8.111627 3.93 0.000 15.29636 48.47665 -Arellano-Bond test for AR(1) in first differences: z = -3.36 Pr > z = 0.001 Arellano-Bond test for AR(2) in first differences: z = -0.83 Pr > z = 0.408 -Sargan test of overid restrictions: chi2(15) = 16.33 Prob > chi2 = 0.360 (Not robust, but not weakened by many instruments.) Hansen test of overid restrictions: chi2(15) = 18.66 Prob > chi2 = 0.229 (Robust, but weakened by many instruments.) lxv  The distributional effect of monetary policy through normalized bank competition (Lerner_Nor) ► REFI as a monetary policy indicator Dynamic panel-data estimation, two-step system GMM -Group variable: bank Number of obs = 349 Time variable : year Number of groups = 30 Number of instruments = 31 Obs per group: = F(11, 29) = 2710.82 avg = 11.63 Prob > F = 0.000 max = 12 -LG | Coef Std Err t P>|t| [95% Conf Interval] -+ -LG | L1 | 2011055 0242313 8.30 0.000 1515468 2506641 | N_DREFI | -1.956189 690227 -2.83 0.008 -3.367862 -.5445163 Lerner_Nor | 25.73775 10.25852 2.51 0.018 4.756719 46.71879 | c.Lerner_Nor#c.N_DREFI | 2.798336 1.335736 2.09 0.045 0664494 5.530222 | CAP_Nor | L1 | 3.433106 4621391 7.43 0.000 2.487926 4.378287 | SIZE_Nor | L1 | 0803674 2.086672 0.04 0.970 -4.187356 4.348091 | LIQ_Nor | L1 | 4628289 1677978 2.76 0.010 1196438 8060141 | LLP_Nor | L1 | 7.460473 2.661521 2.80 0.009 2.017052 12.90389 | STATE | 5.89957 5.40171 1.09 0.284 -5.148168 16.94731 STRESS | -7.279788 2.321166 -3.14 0.004 -12.02711 -2.532471 GDPG | 7131765 5871437 1.21 0.234 -.4876672 1.91402 _cons | 24.66306 3.595707 6.86 0.000 17.30902 32.01711 -Arellano-Bond test for AR(1) in first differences: z = -3.30 Pr > z = 0.001 Arellano-Bond test for AR(2) in first differences: z = -1.42 Pr > z = 0.156 -Sargan test of overid restrictions: chi2(19) = 18.83 Prob > chi2 = 0.468 (Not robust, but not weakened by many instruments.) Hansen test of overid restrictions: chi2(19) = 16.60 Prob > chi2 = 0.617 (Robust, but weakened by many instruments.) lxvi ► REDIS as a monetary policy indicator Dynamic panel-data estimation, two-step system GMM -Group variable: bank Number of obs = 349 Time variable : year Number of groups = 30 Number of instruments = 31 Obs per group: = F(11, 29) = 3960.52 avg = 11.63 Prob > F = 0.000 max = 12 LG | Coef Std Err t P>|t| [95% Conf Interval] + -LG | L1 | 2087049 0242071 8.62 0.000 1591957 258214 | N_DREDIS | -1.909602 6469849 -2.95 0.006 -3.232835 -.5863693 Lerner_Nor | 28.7374 10.64803 2.70 0.011 6.959738 50.51506 | c.Lerner_Nor#c.N_DREDIS | 3.341433 1.340418 2.49 0.019 5999707 6.082895 | CAP_Nor | L1 | 3.405325 4606866 7.39 0.000 2.463115 4.347535 | SIZE_Nor | L1 | 3610175 2.063937 0.17 0.862 -3.860207 4.582242 | LIQ_Nor | L1 | 5081112 1659664 3.06 0.005 1686717 8475507 | LLP_Nor | L1 | 7.678921 2.623437 2.93 0.007 2.313391 13.04445 | STATE | 5.553417 5.265505 1.05 0.300 -5.21575 16.32258 STRESS | -8.228621 2.440014 -3.37 0.002 -13.21901 -3.238232 GDPG | 6320605 5707706 1.11 0.277 -.5352964 1.799417 _cons | 24.79304 3.465876 7.15 0.000 17.70453 31.88155 Arellano-Bond test for AR(1) in first differences: z = -3.36 Pr > z = 0.001 Arellano-Bond test for AR(2) in first differences: z = -1.37 Pr > z = 0.171 -Sargan test of overid restrictions: chi2(19) = 18.54 Prob > chi2 = 0.487 (Not robust, but not weakened by many instruments.) Hansen test of overid restrictions: chi2(19) = 15.78 Prob > chi2 = 0.672 (Robust, but weakened by many instruments.) lxvii ► VNIBOR as a monetary policy indicator Dynamic panel-data estimation, two-step system GMM -Group variable: bank Number of obs = 349 Time variable : year Number of groups = 30 Number of instruments = 31 Obs per group: = F(11, 29) = 7824.25 avg = 11.63 Prob > F = 0.000 max = 12 LG | Coef Std Err t P>|t| [95% Conf Interval] + -LG | L1 | 2347455 0207462 11.32 0.000 1923146 2771763 | DVNIBOR3 | -1.673528 247129 -6.77 0.000 -2.178964 -1.168092 Lerner_Nor | 16.86652 6.909508 2.44 0.021 2.734994 30.99806 | c.Lerner_Nor#c.DVNIBOR3 | 4.510604 1.206497 3.74 0.001 2.04304 6.978167 | CAP_Nor | L1 | 2.694928 433289 6.22 0.000 1.808753 3.581104 | SIZE_Nor | L1 | 5032704 2.292683 0.22 0.828 -4.185793 5.192334 | LIQ_Nor | L1 | 5643306 1391011 4.06 0.000 2798368 8488243 | LLP_Nor | L1 | 6.895071 1.95074 3.53 0.001 2.905359 10.88478 | STATE | 3.50145 5.153069 0.68 0.502 -7.037759 14.04066 STRESS | -8.962125 1.854518 -4.83 0.000 -12.75504 -5.169211 GDPG | 1.463215 4631035 3.16 0.004 5160622 2.410368 _cons | 17.37133 3.134087 5.54 0.000 10.9614 23.78126 Arellano-Bond test for AR(1) in first differences: z = -3.76 Pr > z = 0.000 Arellano-Bond test for AR(2) in first differences: z = -1.20 Pr > z = 0.232 -Sargan test of overid restrictions: chi2(19) = 19.51 Prob > chi2 = 0.425 (Not robust, but not weakened by many instruments.) Hansen test of overid restrictions: chi2(19) = 19.44 Prob > chi2 = 0.429 (Robust, but weakened by many instruments.) lxviii  The distributional effect of monetary policy through aggregate financial development (FD_SUM) ► REFI as a monetary policy indicator Dynamic panel-data estimation, two-step system GMM -Group variable: bank Number of obs = 379 Time variable : year Number of groups = 30 Number of instruments = 27 Obs per group: = F(11, 29) = 109.89 avg = 12.63 Prob > F = 0.000 max = 13 -LG | Coef Std Err t P>|t| [95% Conf Interval] -+ -LG | L1 | 2786141 0557394 5.00 0.000 1646143 3926139 | N_DREFI | -6.976204 1.439532 -4.85 0.000 -9.920377 -4.032031 FD | -.043727 02651 -1.65 0.110 -.097946 0104919 | c.N_DREFI#c.FD | 0498818 0120927 4.12 0.000 0251495 0746141 | CAP_Nor | L1 | 3.573061 5984072 5.97 0.000 2.349181 4.796941 | SIZE_Nor | L1 | -3.857686 2.258391 -1.71 0.098 -8.476614 7612411 | LIQ_Nor | L1 | 0608539 1975454 0.31 0.760 -.3431717 4648796 | LLP_Nor | L1 | 7.682853 2.779387 2.76 0.010 1.998368 13.36734 | STATE | 14.01023 5.264699 2.66 0.013 3.242708 24.77774 STRESS | -7.586617 3.606942 -2.10 0.044 -14.96364 -.209592 GDPG | 7735544 7964717 0.97 0.339 -.8554132 2.402522 _cons | 28.76984 6.878822 4.18 0.000 14.70107 42.83861 -Arellano-Bond test for AR(1) in first differences: z = -3.52 Pr > z = 0.000 Arellano-Bond test for AR(2) in first differences: z = -0.93 Pr > z = 0.353 -Sargan test of overid restrictions: chi2(15) = 11.87 Prob > chi2 = 0.689 (Not robust, but not weakened by many instruments.) Hansen test of overid restrictions: chi2(15) = 18.56 Prob > chi2 = 0.235 (Robust, but weakened by many instruments.) lxix ► REDIS as a monetary policy indicator Dynamic panel-data estimation, two-step system GMM -Group variable: bank Number of obs = 379 Time variable : year Number of groups = 30 Number of instruments = 27 Obs per group: = F(11, 29) = 117.27 avg = 12.63 Prob > F = 0.000 max = 13 LG | Coef Std Err t P>|t| [95% Conf Interval] + -LG | L1 | 2817392 0527788 5.34 0.000 1737944 389684 | N_DREDIS | -7.435063 1.633642 -4.55 0.000 -10.77624 -4.093889 FD | -.05173 025387 -2.04 0.051 -.1036523 0001923 | c.N_DREDIS#c.FD | 0543898 0136386 3.99 0.000 0264957 0822839 | CAP_Nor | L1 | 3.593937 588322 6.11 0.000 2.390684 4.797191 | SIZE_Nor | L1 | -3.815762 2.234503 -1.71 0.098 -8.385834 7543091 | LIQ_Nor | L1 | 0515851 1915181 0.27 0.790 -.3401134 4432836 | LLP_Nor | L1 | 7.887923 2.756664 2.86 0.008 2.249912 13.52593 | STATE | 13.89329 5.094291 2.73 0.011 3.47429 24.31228 STRESS | -7.729081 3.619327 -2.14 0.041 -15.13144 -.3267255 GDPG | 8792639 7736308 1.14 0.265 -.7029887 2.461516 _cons | 29.33866 6.949013 4.22 0.000 15.12633 43.55099 Arellano-Bond test for AR(1) in first differences: z = -3.54 Pr > z = 0.000 Arellano-Bond test for AR(2) in first differences: z = -0.90 Pr > z = 0.367 -Sargan test of overid restrictions: chi2(15) = 11.71 Prob > chi2 = 0.701 (Not robust, but not weakened by many instruments.) Hansen test of overid restrictions: chi2(15) = 18.41 Prob > chi2 = 0.242 (Robust, but weakened by many instruments.) lxx ► VNIBOR as a monetary policy indicator Dynamic panel-data estimation, two-step system GMM -Group variable: bank Number of obs = 379 Time variable : year Number of groups = 30 Number of instruments = 27 Obs per group: = F(11, 29) = 178.09 avg = 12.63 Prob > F = 0.000 max = 13 LG | Coef Std Err t P>|t| [95% Conf Interval] + -LG | L1 | 2292882 0340181 6.74 0.000 1597134 2988631 | DVNIBOR3 | -9.308248 2.490645 -3.74 0.001 -14.40219 -4.214306 FD | -.0636363 0191858 -3.32 0.002 -.1028758 -.0243968 | c.DVNIBOR3#c.FD | 0705239 0199881 3.53 0.001 0296437 1114041 | CAP_Nor | L1 | 3.26235 6236252 5.23 0.000 1.986893 4.537806 | SIZE_Nor | L1 | -4.582598 2.043906 -2.24 0.033 -8.762855 -.4023405 | LIQ_Nor | L1 | 2115687 1957015 1.08 0.289 -.1886858 6118232 | LLP_Nor | L1 | 8.006553 2.918427 2.74 0.010 2.037699 13.97541 | STATE | 13.46951 4.146167 3.25 0.003 4.989643 21.94937 STRESS | -9.666188 3.214404 -3.01 0.005 -16.24038 -3.091994 GDPG | 9998635 5572227 1.79 0.083 -.1397849 2.139512 _cons | 32.27271 6.09672 5.29 0.000 19.80352 44.7419 Arellano-Bond test for AR(1) in first differences: z = -3.36 Pr > z = 0.001 Arellano-Bond test for AR(2) in first differences: z = -0.89 Pr > z = 0.373 -Sargan test of overid restrictions: chi2(15) = 15.90 Prob > chi2 = 0.388 (Not robust, but not weakened by many instruments.) Hansen test of overid restrictions: chi2(15) = 17.46 Prob > chi2 = 0.292 (Robust, but weakened by many instruments.) lxxi  The distributional effect of monetary policy through composite financial development (PC1) ► REFI as a monetary policy indicator Dynamic panel-data estimation, two-step system GMM -Group variable: bank Number of obs = 379 Time variable : year Number of groups = 30 Number of instruments = 28 Obs per group: = F(11, 29) = 911.01 avg = 12.63 Prob > F = 0.000 max = 13 LG | Coef Std Err t P>|t| [95% Conf Interval] + -LG | L1 | 6380379 041152 15.50 0.000 5538725 7222032 | N_DREFI | -1.939544 749256 -2.59 0.015 -3.471945 -.4071439 PC1 | -.5250282 8496132 -0.62 0.541 -2.262682 1.212626 | c.N_DREFI#c.PC1 | 7547843 2842528 2.66 0.013 1734219 1.336147 | CAP_Nor | L1 | 2.976031 7073634 4.21 0.000 1.529311 4.422752 | SIZE_Nor | L1 | 6572655 2.101617 0.31 0.757 -3.641023 4.955554 | LIQ_Nor | L1 | -.5535479 202096 -2.74 0.010 -.9668806 -.1402151 | LLP_Nor | L1 | 9.714518 2.422548 4.01 0.000 4.75985 14.66919 | STATE | 8.405736 4.361585 1.93 0.064 -.5147064 17.32618 STRESS | -6.391065 3.172264 -2.01 0.053 -12.87907 0969428 GDPG | 9226214 8196214 1.13 0.270 -.7536926 2.598935 _cons | 5.028246 6.241647 0.81 0.427 -7.737356 17.79385 Arellano-Bond test for AR(1) in first differences: z = -3.40 Pr > z = 0.001 Arellano-Bond test for AR(2) in first differences: z = 0.28 Pr > z = 0.781 -Sargan test of overid restrictions: chi2(16) = 201.98 Prob > chi2 = 0.000 (Not robust, but not weakened by many instruments.) Hansen test of overid restrictions: chi2(16) = 21.04 Prob > chi2 = 0.177 (Robust, but weakened by many instruments.) lxxii ► REDIS as a monetary policy indicator Dynamic panel-data estimation, two-step system GMM -Group variable: bank Number of obs = 379 Time variable : year Number of groups = 30 Number of instruments = 28 Obs per group: = F(11, 29) = 797.97 avg = 12.63 Prob > F = 0.000 max = 13 -LG | Coef Std Err t P>|t| [95% Conf Interval] -+ -LG | L1 | 6577347 0418024 15.73 0.000 5722392 7432302 | N_DREDIS | -1.822711 6661423 -2.74 0.010 -3.185125 -.4602972 PC1 | -.4956749 8579901 -0.58 0.568 -2.250462 1.259112 | c.N_DREDIS#c.PC1 | 7018558 2880326 2.44 0.021 1127629 1.290949 | CAP_Nor | L1 | 2.987227 7248048 4.12 0.000 1.504835 4.469619 | SIZE_Nor | L1 | 6178953 2.152395 0.29 0.776 -3.784246 5.020037 | LIQ_Nor | L1 | -.5707495 1979018 -2.88 0.007 -.9755043 -.1659948 | LLP_Nor | L1 | 9.970235 2.432991 4.10 0.000 4.99421 14.94626 | STATE | 8.816507 4.496458 1.96 0.060 -.3797819 18.0128 STRESS | -6.319235 3.147975 -2.01 0.054 -12.75757 1190965 GDPG | 8965391 7870466 1.14 0.264 -.713152 2.50623 _cons | 4.514057 5.899957 0.77 0.450 -7.552711 16.58082 -Arellano-Bond test for AR(1) in first differences: z = -3.43 Pr > z = 0.001 Arellano-Bond test for AR(2) in first differences: z = 0.33 Pr > z = 0.744 -Sargan test of overid restrictions: chi2(16) = 196.47 Prob > chi2 = 0.000 (Not robust, but not weakened by many instruments.) Hansen test of overid restrictions: chi2(16) = 21.03 Prob > chi2 = 0.177 (Robust, but weakened by many instruments.) lxxiii ► VNIBOR as a monetary policy indicator Dynamic panel-data estimation, two-step system GMM -Group variable: bank Number of obs = 379 Time variable : year Number of groups = 30 Number of instruments = 28 Obs per group: = F(11, 29) = 239.25 avg = 12.63 Prob > F = 0.000 max = 13 -LG | Coef Std Err t P>|t| [95% Conf Interval] -+ -LG | L1 | 6097333 0363626 16.77 0.000 5353634 6841032 | DVNIBOR3 | -1.413879 6184844 -2.29 0.030 -2.678822 -.1489366 PC1 | -1.193321 5962807 -2.00 0.055 -2.412852 0262097 | c.DVNIBOR3#c.PC1 | 5740087 3252501 1.76 0.088 -.0912024 1.23922 | CAP_Nor | L1 | 3.128137 6748511 4.64 0.000 1.747911 4.508362 | SIZE_Nor | L1 | 0814404 1.762269 0.05 0.963 -3.522803 3.685684 | LIQ_Nor | L1 | -.4492271 1621829 -2.77 0.010 -.7809283 -.1175258 | LLP_Nor | L1 | 10.09778 2.82526 3.57 0.001 4.319475 15.87608 | STATE | 10.49174 3.817685 2.75 0.010 2.683699 18.29978 STRESS | -8.029339 3.09454 -2.59 0.015 -14.35838 -1.700295 GDPG | 1.123292 852892 1.32 0.198 -.6210678 2.867652 _cons | 5.094193 5.739054 0.89 0.382 -6.643489 16.83188 -Arellano-Bond test for AR(1) in first differences: z = -3.47 Pr > z = 0.001 Arellano-Bond test for AR(2) in first differences: z = 0.28 Pr > z = 0.779 -Sargan test of overid restrictions: chi2(16) = 212.62 Prob > chi2 = 0.000 (Not robust, but not weakened by many instruments.) Hansen test of overid restrictions: chi2(16) = 22.75 Prob > chi2 = 0.121 (Robust, but weakened by many instruments.) lxxiv  The distributional effect of monetary policy through composite financial development (FI1) ► REFI as a monetary policy indicator Dynamic panel-data estimation, two-step system GMM -Group variable: bank Number of obs = 379 Time variable : year Number of groups = 30 Number of instruments = 29 Obs per group: = F(11, 29) = 492.28 avg = 12.63 Prob > F = 0.000 max = 13 LG | Coef Std Err t P>|t| [95% Conf Interval] + -LG | L1 | 2376273 037878 6.27 0.000 160158 3150965 | N_DREFI | -1.412564 5937409 -2.38 0.024 -2.626901 -.1982274 FI1 | -1.929601 7165662 -2.69 0.012 -3.395143 -.4640583 | c.N_DREFI#c.FI1 | 7499317 280555 2.67 0.012 1761323 1.323731 | CAP_Nor | L1 | 3.517568 4046633 8.69 0.000 2.689939 4.345197 | SIZE_Nor | L1 | -1.51456 2.230121 -0.68 0.502 -6.075669 3.046549 | LIQ_Nor | L1 | 1541962 2006346 0.77 0.448 -.2561477 5645401 | LLP_Nor | L1 | 8.38567 2.604489 3.22 0.003 3.058891 13.71245 | STATE | 9.078893 4.859544 1.87 0.072 -.8599895 19.01778 CRISIS | -7.824423 2.619267 -2.99 0.006 -13.18142 -2.46742 GDPG | 1.40067 8189653 1.71 0.098 -.2743016 3.075642 _cons | 19.56012 6.711189 2.91 0.007 5.834198 33.28604 Arellano-Bond test for AR(1) in first differences: z = -3.21 Pr > z = 0.001 Arellano-Bond test for AR(2) in first differences: z = -1.05 Pr > z = 0.293 -Sargan test of overid restrictions: chi2(17) = 15.07 Prob > chi2 = 0.590 (Not robust, but not weakened by many instruments.) Hansen test of overid restrictions: chi2(17) = 23.45 Prob > chi2 = 0.135 (Robust, but weakened by many instruments.) lxxv ► REDIS as a monetary policy indicator Dynamic panel-data estimation, two-step system GMM -Group variable: bank Number of obs = 379 Time variable : year Number of groups = 30 Number of instruments = 29 Obs per group: = F(11, 29) = 453.16 avg = 12.63 Prob > F = 0.000 max = 13 -LG | Coef Std Err t P>|t| [95% Conf Interval] -+ -LG | L1 | 2408217 0371979 6.47 0.000 1647435 3169 | N_DREDIS | -1.442732 5549584 -2.60 0.015 -2.57775 -.3077149 FI1 | -2.204696 7725902 -2.85 0.008 -3.784821 -.6245718 | c.N_DREDIS#c.FI1 | 6337803 2905827 2.18 0.037 0394721 1.228089 | CAP_Nor | L1 | 3.554781 3857635 9.21 0.000 2.765806 4.343756 | SIZE_Nor | L1 | -1.164231 2.189106 -0.53 0.599 -5.641456 3.312993 | LIQ_Nor | L1 | 1538408 2011487 0.76 0.451 -.2575544 5652361 | LLP_Nor | L1 | 8.033282 2.714618 2.96 0.006 2.481265 13.5853 | STATE | 8.611748 4.590471 1.88 0.071 -.7768199 18.00032 CRISIS | -7.547626 2.595877 -2.91 0.007 -12.85679 -2.238461 GDPG | 1.308753 7932073 1.65 0.110 -.3135385 2.931044 _cons | 19.92253 6.511761 3.06 0.005 6.604482 33.24057 -Arellano-Bond test for AR(1) in first differences: z = -3.22 Pr > z = 0.001 Arellano-Bond test for AR(2) in first differences: z = -1.05 Pr > z = 0.293 -Sargan test of overid restrictions: chi2(17) = 14.60 Prob > chi2 = 0.624 (Not robust, but not weakened by many instruments.) Hansen test of overid restrictions: chi2(17) = 22.54 Prob > chi2 = 0.165 (Robust, but weakened by many instruments.) lxxvi ► VNIBOR as a monetary policy indicator Dynamic panel-data estimation, two-step system GMM -Group variable: bank Number of obs = 379 Time variable : year Number of groups = 30 Number of instruments = 27 Obs per group: = F(11, 29) = 786.50 avg = 12.63 Prob > F = 0.000 max = 13 -LG | Coef Std Err t P>|t| [95% Conf Interval] -+ -LG | L1 | 3679665 0417845 8.81 0.000 2825076 4534255 | DVNIBOR3 | -.8962094 3447325 -2.60 0.015 -1.601266 -.1911524 FI1 | -2.976599 7820797 -3.81 0.001 -4.576132 -1.377066 | c.DVNIBOR3#c.FI1 | 7685919 2647992 2.90 0.007 2270168 1.310167 | CAP_Nor | L1 | 4.151403 5980393 6.94 0.000 2.928276 5.374531 | SIZE_Nor | L1 | -2.835921 2.465609 -1.15 0.259 -7.878658 2.206817 | LIQ_Nor | L1 | -.0391319 2047834 -0.19 0.850 -.457961 3796972 | LLP_Nor | L1 | 9.951682 2.862915 3.48 0.002 4.096364 15.807 | STATE | 16.81148 4.66146 3.61 0.001 7.277721 26.34523 CRISIS | -9.516747 3.815865 -2.49 0.019 -17.32107 -1.712426 GDPG | 8108503 7660029 1.06 0.299 -.7558017 2.377502 _cons | 18.5558 5.865043 3.16 0.004 6.560439 30.55116 -Arellano-Bond test for AR(1) in first differences: z = -3.53 Pr > z = 0.000 Arellano-Bond test for AR(2) in first differences: z = -0.46 Pr > z = 0.644 -Sargan test of overid restrictions: chi2(15) = 12.50 Prob > chi2 = 0.641 (Not robust, but not weakened by many instruments.) Hansen test of overid restrictions: chi2(15) = 20.53 Prob > chi2 = 0.152 (Robust, but weakened by many instruments.)