(Luận văn) impact of monetary policy on bank’s loan supply, bank’s balance sheet approach

t to ng hi ep UNIVERSITY OF ECONOMICS HO CHI MINH CITY VIETNAM INSTITUTE OF SOCIAL STUDIES THE HAGUE THE NETHERLANDS w n VIETNAM – NETHERLANDS lo ad PROGRAMME FOR M.A IN DEVELOPMENT ECONOMICS ju y th yi pl ua al n IMPACT OF MONETARY POLICY ON THE SUPPLY OF BANK LOAN: BANK’S BALANCE SHEET APPROACH n va ll fu oi m at nh z BY z vb k jm ht Ms NGUYEN NHU Y l.c gm om MASTER OF ARTS IN DEVELOPMENT ECONOMICS n a Lu n va y te re th HO CHI MINH CITY, DECEMBER 2013 t to ng UNIVERSITY OF ECONOMICS INSTITUTE OF SOCIAL STUDIES hi ep THE HAGUE VIETNAM THE NETHERLANDS HO CHI MINH CITY w n lo ad y th VIETNAM – NETHERLANDS ju PROGRAMME FOR M.A IN DEVELOPMENT ECONOMICS yi pl n ua al n va IMPACT OF MONETARY POLICY ON THE SUPPLY OF BANK LOAN: BANK’S BALANCE SHEET APPROACH ll fu oi m at nh z The thesis submitted in partial fulfillment of the requirements for the degree of z vb MASTER OF ARTS IN DEVELOPMENT ECONOMICS k jm ht om l.c Ms NGUYEN NHU Y gm By n a Lu Academic Supervisor: n va DR NGUYEN HOANG BAO y te re th HO CHI MINH, DECEMBER 2013 Page t to ng hi ep ACKNOWLEDGEMENT w There are a number of people without whom this thesis might not have written, and to n lo whom I am greatly indebted ad y th Firstly, I would like to express the deepest appreciation to my family, without their ju encouragement and support, I would not have a chance to be finished the thesis yi pl al Secondly, I would like to express my sincere thanks to my supervisor, Dr Nguyen n ua Hoang Bao, for the patient guidance, encouragements, comments, and advices he has n va provided throughout the thesis process fu ll Thirdly, I would like to express my sincere thanks to Dr Truong Dang Thuy for the oi m econometric guidance and advices nh at Fourthly, I am very grateful to all lecturers of the Vietnam-Netherlands Programme for z giving me knowledge and guidance to fulfill the thesis Besides, I would like to thank z ht vb all the academic and technical support from the staffs of Vietnam – Netherlands k jm Programme during the course support for my thesis but are not above-mentioned om l.c gm Finally, I would like to thank my friends and people, who have any help and n a Lu n va y te re th Page t to ng ABSTRACT hi ep This study researches the impact of monetary policy onthe supply of bank loan in w Vietnam during the period from 2008 to 2012 The impact is examined by using the n lo Generalized Methods of Moments (GMM) approach The estimation results indicate ad that monetary policy change has negative impact on the supply of bank loan and the y th ju magnitude is different among banks Bank characteristics i.e asset size, liquidity, and yi capitalization depress the negative impact of monetary policy change on the supply of pl ua al bank loan The purpose of this study is to hope policy maker take into consideration when using monetary policy to regulate the supply of bank loan in the context that n n va different bank react and absorb the monetary transmission differently fu ll Key words: Monetary policy, supply of bank loan, bank characteristics, GMM, oi m Vietnam at nh z z k jm ht vb om l.c gm n a Lu n va y te re th Page t to ng LIST OF FIGURES hi ep Figure 2.1: The bank – lending channel mechanism 23 w Figure 4.1: Analytical framework .50 n lo Figure 5.1: The correlation among dependent variable and independent variables .55 ad Figure 5.2: The correlation among independent variables and cross-term variables 56 ju y th Figure A.1: Overview of the transmission mechanism (Égert & MacDonald, 2006) 92 yi pl n ua al n va ll fu oi m at nh z z k jm ht vb om l.c gm n a Lu n va y te re th Page t to ng LIST OF TABLES hi ep Table 3.1: The short-term three months interbank deposit offer rate from 2008 to 2012 34 w Table 4.1: Variables definition and sources 36 n lo Table 4.2: Expected signs of variables in equation (21) 44 ad Table 5.1: Summary statistics of the variables used in the regressions 54 y th Table 5.2: The empirical regression results of GMM estimation .59 ju Table A.1: The base rate of VND in the year 2008 .74 yi pl Table A.2: The base rate of VND in the year 2009 .75 al ua Table A.3: The base rate of VND in the year 2010 .76 n Table A.4: The required reserve rate of VND in the year 2008 77 va n Table A.5: The required reserve rate of VND in the year 2009 77 ll fu Table A.6: The required reserve rate of VND in the year 2010 78 oi m Table A.7: The required reserve rate of VND in the year 2011 78 nh Table A.8: List of commercial banks 79 at Table A.9: Correlation matrix 81 z z Table A.10: The empirical regression results of GMM estimation 85 ht vb Table A 11: Wooldridge test for autocorrelation in panel data 87 jm Table A 12 : White’s test for Heteroskedasticity in panel data 87 k Table A 13 : Test the relevance of instrument varible 87 gm Table A.14: Summary of empirical literature reviews .88 om l.c n a Lu n va y te re th Page t to ng TABLE OF CONTENTS hi ep CHAPTER 1: INTRODUCTION 1.1 Problem statement w n lo 1.2 Research objective 11 ad Research questions 12 1.4 Research methodology 12 1.5 Structure of thesis 13 ju y th 1.3 yi pl al ua CHAPTER 2: LITERATURE REVIEW 14 Theoretical literature .14 2.2 Empirical studies .24 n 2.1 n va ll fu m CHAPTER 3: STYLIZED FACT ON VIETNAMESE MONETARY POLICY AND oi BANKING SYSTEM 28 nh Monetary policy system 28 at 3.1 z Legal framework 28 3.1.2 Monetary policy strategy .29 3.1.3 Monetary policy instrument 30 z 3.1.1 k jm ht vb gm 3.2 Monetary policy and the supply of bank loan change in the period 2008 – 2012 31 4.1 om l.c CHAPTER 4: METHODOLOGY, MODEL SPECIFICATION AND DATA RESOURCES 36 Data and econometric model 36 a Lu Data and variables .36 4.1.2 Econometric model 40 n 4.1.1 n va Analytical framework 50 Descriptive and comparative data analysis .53 Page th 5.1 y CHAPTER 5: FINDINGS .53 te re 4.2 t to ng General picture of data for variables of empirical model 53 5.1.2 General relationship among variables 55 5.1.3 Data analysis discussion 58 hi 5.1.1 ep w n lo 5.2 Econometric results 59 ad y th CHAPTER 6: CONCLUSION 66 Summarize of methodology .66 6.2 Summarize of major findings 66 6.3 Policy implications 68 6.4 Shortcomings of the study .69 6.5 Suggestions for further study 69 ju 6.1 yi pl n ua al n va ll fu oi m REFERENCES 70 at nh APPENDIX 74 z z k jm ht vb om l.c gm n a Lu n va y te re th Page t to ng CHAPTER 1: INTRODUCTION hi ep This chapter begins the thesis research by introducing the research topic and states the w research problems in terms of social and scientific point of view This chapter also n lo includes research objective which is what the paper intends to study and states the ad y th research questions The next part is research methodology, which presents briefly the ju method will be used in the paper to solve the research objectives and obtains the yi answers for research questions The final part of this chapter presents the organization pl n va 1.1 Problem statement n ua al of the thesis fu ll Banking system plays a significant role in economic development process in Vietnam m oi Banks are considered the capital transmission channel of the economy and its activity at nh covers all economic and social activities Banks are financial intermediaries between z savers and borrowers It provides capital for the economy and bridges the companies z vb with market Therefore, it will be an effective tool for government to regulate the jm ht economy The government manages the macro-economy by implementing monetary k policy, fiscal policy, foreign capital control policy, and trade policy Among the above gm policies, the study focuses on the monetary policy and its effect on banking system l.c om Banking system leads the market through credit operations and payments between commercial banks in the system following the government regulation Thereby, the a Lu banking system expands the volume of money supply in circulation by supplying credit n n va to sectors in the economy and controls them effectively One of the most important bank makes inactive capital into active capital, stimulates the circulation of the Page th the continuity of production process and production expansion With this function, the y has an important role in promoting the economic growth by satisfying capital needs for te re functions of banking system is financial intermediary For the economy, this function t to ng capital,and promotes business growth.The supply of bank loan represents for the hi ep financial intermediary function of the bank The amount of the supply of bank loan indicates how much money relatively goes into the economy Theoretically, the loan w n supply of bank is influenced by several factors as capital input cost, monetary policies, lo ad economic situations, loan demand, etc Within the boundary of the study, the impact of ju y th monetary policy on loan supply will be solely discussed in detail Understanding the mechanism and factors, which determine the loan supply of a bank has important yi pl implications for strength and distributional effects of monetary policy Understanding al ua how monetary policy influent the loan supply also strengthens the link between n stabilization and regulatory policy from the government and the state bank of Vietnam va n as well as business decision of bankers ll fu oi m B S Bernanke and Blinder (1989)suggested bank intermediation is seen to be nh especially crucial in a situation of asymmetric information and moral hazard since only at bank specializes in monitoring their borrowers Moreover, bonds and bank loans are z z assumed not perfectly substitute so then many firms would turn into bank dependent vb ht Thus, the existence of bank lending channel becomes importance in monetary k jm transmission mechanism In this case, monetary policy affects bank assets and bank gm liabilities It is not only shift the supply of deposit but also the supply of bank loan The importance thing isthat bank relies on deposit financing and adjustsits loan supply l.c om schedules following changes in bank reserves as monetary policy shock In this way, a Lu monetary policy shocks change the supply of bank loan.The existence of bank lending n channel means that with monetary contraction, banks will cut back their loans supply va and weak, undercapitalized bank will responds more than large and well-capitalized n Page 10 th of banks and find that large banks are better able to neutralize monetary shocks than y Kashyap and Stein (1997) and Kashyap and Stein (2000)analyzed disaggregated data te re banks There are also several empirical studies on the field Kashyap and Stein (1995); t to ng Table A.6: The required reserve rate of VND in the year 2010 hi ep Required reserve (VND) w n 4%1 - 3%2 Decision No Effective date 74/QĐ-NHNN dated 18/01/2010 01/02/2010 lo (2) for term over 12 months ad (1) for term under 12 months y th ju Source: State bank of Vietnam, 2013 yi pl ua al Table A.7: The required reserve rate of VND in the year 2011 n va Decision No Effective date n Required reserve (VND) ll fu 3%1 - 4%2 750/QĐ-NHNN dated 9/04/2011 3%1 - 5%2 1209/QĐ-NHNN dated 1/06/2011 oi m 01/05/2011 at nh 01/06/2011 1925/QD-NHNN dated 01/09/2011 z (2) for term over 12 months jm ht (1) for term under 12 months vb 26/08/2011 z 3%1 - 6%2 k Source: State bank of Vietnam,2013 om l.c gm n a Lu n va y te re th Page 78 t to ng Table A.8: List of commercial banks hi ep English Name ACB Asia Commercial Bank Agribank Vietnam Bank For Agriculture And Rural Development w No Local Name n lo ad An Binh Bank An Binh Commercial Joint Stock Bank BIDV Bank For Investment And Development Of Vietnam Dai A Bank EAB Eximbank Viet Nam Export – Import Commercial Joint Stock Bank HD Bank Housing Development Commercial Joint Stock Bank Maritime Bank Maritime Commercial Joint Stock Bank 10 MB Bank Military Commercial Joint Stock Bank 11 MHB Housing Bank Of Mekong Delta 12 Nam A Bank Southeast Asia Commercial Joint Stock Bank 13 Sacombank SaiGonThuong Tin Commercial Joint-Stock Bank 14 SHB Saigon-Hanoi Commercial Joint Stock Bank 15 Southern Bank Southern Commercial Joint Stock Bank 16 Techcombank Viet Nam Technological And Commercial Joint Stock Bank 17 VIB Vietnam International Commercial Joint Stock Bank 18 Vietcombank Joint Stock Commercial Bank For Foreign Trade Of Vietnam 19 Vietinbank Vietnam Bank For Industry And Trade 20 VP Bank Vietnam Prosperity Commercial Joint-Stock Bank ju y th yi pl Great Asia Commercial Joint Stock Bank al n ua Eastern Asia Commercial Joint Stock Bank n va ll fu oi m at nh z z k jm ht vb om l.c gm n a Lu n va y te re th Page 79 t to ng hi ep w n lo ad ju y th yi pl n ua al n va ll fu oi m at nh z z k jm ht vb om l.c gm n a Lu n va y te re th Page 80 n lo ad ju y th yi pl ua al Table A.9: Correlation matrix n 𝑑𝐿𝑁𝑖,𝑡−1 𝑑𝑖𝑡 𝑑𝑖𝑡−1 𝐴𝑖𝑡−1 𝐿𝐼𝑄𝑖𝑡−1 1.0000 𝑑𝐿𝑁𝑖𝑡 (-1) 0.4088 1.0000 𝑑𝑖𝑡 0.2118 0.5938 𝑑𝑖𝑡−1 -0.5039 -0.4449 -0.4793 𝐴𝑖𝑡−1 -0.2490 -0.2028 -0.0382 𝐿𝐼𝑄𝑖𝑡−1 0.0733 0.1530 -0.0860 𝐾𝐴𝑖𝑡−1 0.0898 0.1167 -0.1837 0.1692 𝑑𝑇𝐷𝑖𝑡 0.7225 0.1383 -0.1340 -0.3142 𝑑𝑇𝐷𝑖𝑡−1 0.3293 0.6773 0.4741 -0.0587 𝑑𝐼𝐵𝑖𝑡 0.0167 -0.1228 -0.1593 -0.0384 -0.1900 𝑑𝐼𝐵𝑖𝑡−1 0.2073 0.2598 0.1657 -0.2972 -0.2282 𝑑𝑖𝑡 𝐴𝑖𝑡−1 0.2120 0.5838 0.9987 -0.4744 𝑑𝑖𝑡−1 𝐴𝑖𝑡−1 -0.4965 -0.4390 -0.4791 𝑑𝑖𝑡 𝐿𝐼𝑄𝑖𝑡−1 -0.1989 -0.5672 𝑑𝑖𝑡−1 𝐿𝐼𝑄𝑖𝑡−1 0.4736 𝑑𝑖𝑡 𝐾𝐴𝑖𝑡−1 -0.2035 𝐾𝐴𝑖𝑡−1 𝑑𝑇𝐷𝑖𝑡 𝑑𝑇𝐷𝑖𝑡−1 𝑑𝐼𝐵𝑖𝑡 n 𝑑𝐿𝑁𝑖𝑡 gm va 𝑑𝐿𝑁𝑖𝑡 oi m ll fu 1.0000 nh at 1.0000 z 1.0000 z 0.1429 vb 0.0423 1.0000 -0.5251 0.2838 1.0000 -0.4462 0.1332 0.1383 1.0000 -0.2534 0.2024 -0.0748 0.1384 1.0000 0.2585 0.1375 0.0794 -0.0543 1.0000 0.0164 0.0862 0.2986 0.0870 -0.3386 -0.0422 -0.0889 -0.1759 -0.1326 0.4697 -0.1566 0.9985 0.1483 0.0470 -0.3143 -0.0585 -0.0374 -0.9725 0.4630 0.0230 0.0550 0.1849 0.1337 -0.4366 0.0822 0.4146 0.4523 -0.9710 -0.1182 -0.0019 -0.1719 0.2976 0.0326 0.0631 -0.5627 -0.9917 0.4792 0.0582 0.0893 0.1922 0.1066 -0.4506 0.1661 k jm ht -0.4979 om l.c an Lu va 0.1620 n y te re ac th si eg cd Page 81 jg hg n lo ad ju y th yi pl ua al 𝑑𝑖𝑡−1 𝐾𝐴𝑖𝑡−1 0.4614 0.4013 0.4577 -0.9869 -0.1602 -0.0461 -0.2046 0.3112 0.0428 0.0390 n n va oi m ll fu at nh z z k jm ht vb om l.c gm an Lu va n y te re ac th si eg cd Page 82 jg hg n lo ad ju y th yi pl ua al 𝑑𝐼𝐵𝑖𝑡−1 𝑑𝑖𝑡−1 𝐿𝐼𝑄𝑖𝑡−1 𝑑𝑖𝑡 𝐾𝐴𝑖𝑡−1 𝑑𝑖𝑡−1 𝐾𝐴𝑖𝑡−1 n fu m ll 𝑑𝑖𝑡 oi 𝑑𝑖𝑡−1 nh at 𝐴𝑖𝑡−1 z 𝐿𝐼𝑄𝑖𝑡−1 z ht vb 𝐾𝐴𝑖𝑡−1 jm 𝑑𝑇𝐷𝑖𝑡 k 𝑑𝑇𝐷𝑖𝑡−1 gm l.c 𝑑𝐼𝐵𝑖𝑡 1.0000 om 𝑑𝐼𝐵𝑖𝑡−1 𝑑𝑖𝑡 𝐿𝐼𝑄𝑖𝑡−1 va 𝑑𝐿𝑁𝑖𝑡 (-1) 𝑑𝑖𝑡−1 𝐴𝑖𝑡−1 n 𝑑𝐿𝑁𝑖𝑡 𝑑𝑖𝑡 𝐴𝑖𝑡−1 0.1709 1.0000 𝑑𝑖𝑡−1 𝐴𝑖𝑡−1 -0.3026 -0.4758 1.0000 𝑑𝑖𝑡 𝐿𝐼𝑄𝑖𝑡−1 -0.1203 -0.9764 0.4664 1.0000 𝑑𝑖𝑡−1 𝐿𝐼𝑄𝑖𝑡−1 0.2423 0.4511 -0.9774 -0.4683 1.0000 𝑑𝑖𝑡 𝐾𝐴𝑖𝑡−1 -0.2056 -0.9947 0.4816 0.9722 -0.4576 𝑑𝑖𝑡−1 𝐾𝐴𝑖𝑡−1 0.3167 0.4554 -0.9895 -0.4470 0.9695 an Lu 𝑑𝑖𝑡 𝐴𝑖𝑡−1 va n y te re 1.0000 ac th -0.4711 1.0000 si eg cd Page 83 jg hg n lo ad ju y th yi pl ua al Note:All variable is in logarithm form and dis denoted for first-difference n n va oi m ll fu at nh z z k jm ht vb om l.c gm an Lu va n y te re ac th si eg cd Page 84 jg hg n lo ad ju y th yi pl ua al Table A.10: The empirical regression results of GMM estimation n n va Number of obs = 48 fu Wald chi2 (16) = 237.55 m ll Instrument variables (GMM) regression Prob> chi2 = 0.0000 oi nh Root MSE = 0.0826 at GMM weight matrix: Robust R-squared = 0.7863 z Robust vb Coef z ∆ln 𝐿𝑂𝐴𝑁𝑖𝑡 z P>|z| [95% Conf Interval] 0.250 -.802021 -.802021 -.296789 257776 -1.15 ∆𝑙𝑛 𝑖𝑡 -1.56809 849664 -1.85 0.065 -3.2334 097212 ∆𝑙𝑛 𝑖𝑡−1 -2.38994 709293 -3.37 0.001 -3.78013 -.999752 ∆𝑙𝑛 𝑖𝑡 𝐿𝑛 𝐴𝑆𝑆𝐸𝑇𝑖𝑡−1 139460 055863 2.50 0.013 029969 24895 ∆𝑙𝑛 𝑖𝑡−1 𝐿𝑛 𝐴𝑆𝑆𝐸𝑇𝑖𝑡−1 145873 044488 3.28 0.001 058677 233069 ∆𝑙𝑛 𝑖𝑡 𝐿𝑛 𝐿𝐼𝑄𝑈𝐼𝐷𝐼𝑇𝑌𝑖𝑡−1 019836 097066 0.20 -.170410 210084 ∆𝑙𝑛 𝑖𝑡−1 𝐿𝑛 𝐿𝐼𝑄𝑈𝐼𝐷𝐼𝑇𝑌𝑖𝑡−1 156305 074218 2.11 010840 301770 ∆𝑙𝑛 𝑖𝑡 𝐿𝑛 𝐾𝐴𝑖𝑡−1 361629 156538 2.31 0.021 054818 668439 ∆𝑙𝑛 𝑖𝑡−1 𝐿𝑛 𝐾𝐴𝑖𝑡−1 093062 111074 0.84 0.402 -.124639 310763 055079 022138 2.49 0.013 011689 098469 om l.c gm an Lu 0.838 va 0.035 n y te re ac th 𝐿𝑛 𝐴𝑆𝑆𝐸𝑇𝑖𝑡−1 k ∆𝑙𝑛 𝐿𝑂𝐴𝑁𝑖𝑡 (-1) jm ht Std Err si eg cd Page 85 jg hg n lo ad ju y th yi pl n ua al n va Table A.10: The empirical regression results of GMM estimation (continued) z P>|z| 0.10 0.922 -.056874 062818 2.11 0.035 011106 303788 110865 5.15 0.000 353761 788347 153504 ht 2.33 0.020 056462 658187 -1.28 0.199 -.037937 007917 -0.20 0.842 -.022586 018408 0.048 -1.13492 -.005356 Std Err oi m ll fu Robust Coef .002972 nh 030534 𝐿𝑛 𝐾𝐴𝑖𝑡−1 157447 074665 ∆𝑙𝑛 𝑇𝐸𝑅𝑀 𝐷𝐸𝑃𝑂𝑆𝐼𝑇𝑖𝑡 571054 ∆𝑙𝑛 𝑇𝐸𝑅𝑀 𝐷𝐸𝑃𝑂𝑆𝐼𝑇𝑖𝑡−1 357324 at 𝐿𝑛 𝐿𝐼𝑄𝑈𝐼𝐷𝐼𝑇𝑌𝑖𝑡−1 z z vb jm 011697 ∆𝑙𝑛 𝐼𝑁𝑇𝐸𝑅𝐵𝐴𝑁𝐾 𝐵𝑂𝑅𝑅𝑂𝑊𝑖𝑡−1 -.002089 010458 Cons -.570141 288161 gm -1.98 om l.c -.015010 k ∆𝑙𝑛 𝐼𝑁𝑇𝐸𝑅𝐵𝐴𝑁𝐾 𝐵𝑂𝑅𝑅𝑂𝑊𝑖𝑡 [95% Conf Interval] Instrumented: ∆𝑙𝑛 𝐿𝑂𝐴𝑁𝑖𝑡 (-1) Lu an Instruments: ∆𝑙𝑛 𝑖𝑡 ; ∆𝑙𝑛 𝑖𝑡−1; ∆𝑙𝑛 𝑖𝑡 𝐿𝑛 𝐴𝑆𝑆𝐸𝑇𝑖𝑡−1; ∆𝑙𝑛 𝑖𝑡−1 𝐿𝑛 𝐴𝑆𝑆𝐸𝑇𝑖𝑡−1 ; ∆𝑙𝑛 𝑖𝑡 𝐿𝑛 𝐿𝐼𝑄𝑈𝐼𝐷𝐼𝑇𝑌𝑖𝑡−1; va ∆𝑙𝑛 𝑖𝑡−1 𝐿𝑛 𝐿𝐼𝑄𝑈𝐼𝐷𝐼𝑇𝑌𝑖𝑡−1; ∆𝑙𝑛 𝑖𝑡 𝐿𝑛 𝐾𝐴𝑖𝑡−1; ∆𝑙𝑛 𝑖𝑡−1 𝐿𝑛 𝐾𝐴𝑖𝑡−1; 𝐿𝑛 𝐴𝑆𝑆𝐸𝑇𝑖𝑡−1 ; 𝐿𝑛 𝐿𝐼𝑄𝑈𝐼𝐷𝐼𝑇𝑌𝑖𝑡−1; 𝐿𝑛 𝐾𝐴𝑖𝑡−1; n ∆𝑙𝑛 𝑇𝐸𝑅𝑀𝐷𝐸𝑃𝑂𝑆𝐼𝑇𝑖𝑡 ; ∆𝑙𝑛 𝑇𝐸𝑅𝑀𝐷𝐸𝑃𝑂𝑆𝐼𝑇𝑖𝑡−1; ∆𝑙𝑛 𝐼𝑁𝑇𝐸𝑅𝐵𝐴𝑁𝐾𝐵𝑂𝑅𝑅𝑂𝑊𝑖𝑡 ; ∆𝑙𝑛 𝐼𝑁𝑇𝐸𝑅𝐵𝐴𝑁𝐾𝐵𝑂𝑅𝑅𝑂𝑊𝑖𝑡−1; re y te 𝑙𝑛 𝐿𝑂𝐴𝑁𝑖𝑡 (-2) ac th si eg cd Page 86 jg hg t to ng Table A 11: Wooldridge test for autocorrelation in panel data hi ep w Wooldridge test for autocorrelation in panel data H0: no first-order autocorrelation F( 1, 11) = 0.920 Prob > F = 0.3580 n lo ad y th ju Table A 12 : White’s test for Heteroskedasticity in panel data yi pl White's test for Ho: homoskedasticity against Ha: unrestricted heteroskedasticity n ua al va n chi2(47) Prob > chi2 48.00 0.4321 ll fu = = m oi Cameron & Trivedi's decomposition of IM-test at nh z 60.76 jm ht vb 0.4321 0.8049 0.1940 64 0.5917 om Total 47 16 l.c 48.00 11.07 1.69 p gm Heteroskedasticity Skewness Kurtosis df k chi2 z Source n a Lu n va Table A 13 : Test the relevance of instrumentvarible y te re Test of endogeneity (orthogonality conditions) Ho: variables are exogenous th GMM C statistic chi2(1) = 671123 Page 87 (p = 0.4127) t to ng Table A.14: Summary of empiricalliteraturereviews hi ep Researching w n lo Author ad Kashyap periods methodology Findings USA, disaggregate The six-variable Tightening monetary quarterly data on prediction equation in policy declines deposit for bank balance sheet B Bernanke (1990) all size categories Classifying banks by An increase in the Federal asset size and using reserve funds rate has a the Federal reserve negative and statistically funds rate as the significant effect on the yi (1995) Research ju y th and Stein countries and pl ua al from 1976Q1 to 1992Q2 n n va ll fu growth rate of total loans oi m monetary policy Small banks are more nh instrument at sensitive to change in z z monetary policy vb USA, disaggregate The Two-Step and Stein quarterly data on regression approach (2000) bank balance sheet bank’s lending activity is from 1976Q1 to stronger for less liquid 1993Q2 banks The impact of tightening jm ht Kashyap monetary policy on a k om l.c gm a Lu USA, disaggregate The OLS regression Loans of small and Opiela quarterly data on approach Segregating undercapitalized banks are (2000) bank balance sheet banks by asset size the most responsive to from 1980Q1 to and capital leverage monetary policy 1995Q4 ratio n Kishan and n va y te re th Page 88 t to ng hi ep Euro, disaggregate al (2002) yearly data on bank prediction equation in matter what size they are balance sheet from B Bernanke (1990) tend to react more to 1991 to 1999 Classifying banks by policy change Altunbaş et w n lo Sweden, Autoregressive Small, undercapitalized disaggregate distributed lag bank are sensitive and (ARDL) approach strongly react to monetary ju y th yi (2003) Undercapitalized banks no asset size and capital ad Westerlund The six-variable pl ua al monthly data on bank balance sheet policy change n ll fu 2003:M6 n va from 1998:M1 to m Chile, disaggregate Autoregressive (2003) yearly data on bank distributed lag Small, illiquid, and less oi Alfaro et al nh at (ARDL) approach compress their loan z balance sheet capitalized banks have to z supply during the period vb during the period of monetary policy shock k jm ht 1990 to 2002 The GMM approach gm Gambacorta Italy, disaggregate Well-capitalized banks quarterly data on can better shield their Mistrulli bank balance sheet lending from monetary (2004) during the policy shocks Small and period1992Q3 to illiquid banks tend to react 2001Q3 more toward monetary om l.c and n a Lu n va y te re shock th Page 89 t to ng hi ep Bichsel and Switzerland, The Two-Step Perrez disaggregate Regression Approach are relatively immune to (2005) Better-capitalized banks w n quarterly data on changes in the monetary bank balance sheet policy stance lo ad from the period ju y th 1996Q1 to yi 2003Q1 Ukraine, The GMM approach (2006) disaggregate yearly Segregating banks by pl Golodniuk Undercapitalized bank al n ua face serious problem to n balance sheet va data on bank maintain the loan supply capitalization, and level in tightening fu monetary policy period oi m of 1998 to 2003 liquidity ll during the period theirs asset size, at nh z Gómez- Colombia and The six-variable Gonzalez Argentina prediction equation in and Grosz Disaggregate B Bernanke (1990) (2007) monthly data on liquid banks reduce the bank balance sheet effect of tightening during the period monetary policy on the of 2003M8 to supply of bank loan z For both case of jm ht vb Argentina and Columbia: Better-capitalized and k om l.c gm a Lu n 2005M11 for va Argentina and n te re 1995M1 to y 2005M9 for th Colombia Page 90 t to ng hi ep France, Germany, The six-variable Only japan and Greece and Delis Greece, Japan, UK prediction equation in present the existence of and USA B Bernanke (1990) bank lending channel Brissimis (2009) w n lo ad There is weak bank yearly data on bank lending channel in France balance sheet Germany, US and UK ju y th Disaggregate not have ban k lending of 1996 to 2003 channel yi during the period pl ua al Nigeria (2009) Disaggregate The GMM approach n Ezema va policy affects more on n fu oi at nh during the period m bank balance sheet small and illiquid banks ll quarterly data on z of 1999Q1 to The tightening monetary z k jm ht vb 2008Q4 om l.c gm n a Lu n va y te re th Page 91 n lo ad ju y th yi pl ua al Figure A.1: Overview of the transmission mechanism(Égert & MacDonald, 2006) n n va FOREIGN EXCHANGE CHANNEL fu CREDIT CHANNEL oi m ll Bank capital channel z k jm ht vb gm Equity and property prices Wealth effect Liquidity effect an Lu INTEREST RATE CHANNEL om l.c Income effect va Substitution effect n Long-term real interest rate V O I E U F S T L T P A M U T E T I N O T N Cost of capital y te re ac th Short term nominal interest rate N ASSET PRICE CHANNEL Portfolio adjustment: desired liquidity level Interest rate pass-through z Structure of banking sector I Capacity to borrow Bank lending channel at nh LT market & banking (deposit and loan) norminal interest rate Balance sheet channel Expectation channel eg cd Page 92 si MONETARY POLICY jg hg