(Luận văn) monetary policy transmission and bank lending channel in vietnam

i MINISTRY OF EDUCATION AND TRAINING t to UNIVERSITY OF ECONOMICS HO CHI MINH CITY ng ***** hi ep w n lo NGUYEN PHUC CANH ad ju y th yi pl ua al MONETARY POLICY TRANSMISSION AND n BANK LENDING CHANNEL IN VIETNAM n va ll fu oi m at nh z z k jm ht vb PHD THESIS om l.c gm an Lu n va ey t re HO CHI MINH CITY, 2016 ii MINISTRY OF EDUCATION AND TRAINING t to UNIVERSITY OF ECONOMICS HO CHI MINH CITY ng ***** hi ep w n lo NGUYEN PHUC CANH ad ju y th yi pl ua al MONETARY POLICY TRANSMISSION AND n BANK LENDING CHANNEL IN VIETNAM n va ll fu oi m at nh Major: Finance and Banking Code: 62.34.02.01 z z k jm ht vb PHD THESIS om Assoc Prof Dr VO XUAN VINH an Lu Prof Dr SU DINH THANH l.c gm ACADEMIC ADVISORS n va ey t re HO CHI MINH CITY, 2016 i ACKNOWLEDGEMENTS t to ng I am deeply indebted to my academic advisers Pro.Dr Sử Đình Thành and hi ep Assoc.Pro.Dr Võ Xuân Vinh for their fundamental roles Pro.Thành and Pro.Vinh have provided me with guidance, assistances, and supports during my study They have given w me autonomy on decision making and researching the topic, while continuing to provide n lo valuable feedbacks, advices, and encouragement In addition to our academic ad collaboration, I greatly appreciate the bonding relationships between Thành, Vinh and y th ju I Additionally, I am deeply thankful to Dr Trầm Thị Xuân Hương, my lecturer and my yi researching partner at School of Banking, who has assisted me in researching the topic pl ua al in this thesis She has also advised, encouraged and generously allowed me to apply our shared works in presenting this thesis I gratefully acknowledge lecturers from the n n va research methodology course at University of Economics Ho Chi Minh City who have ll fu provided me with basis methodologies for this study Such methodologies have helped oi m me understand, find and utilize correct methods at nh I would like to thank my dear colleagues at School of Banking and University of z Economics Ho Chi Minh City for their substantial influence The School of Banking z and University of Economics Ho Chi Minh City provide the best environment for vb jm ht studying and researching I also give my thanks to colleagues in International k department at School of Banking, they always supported and encouraged me in this l.c gm study and helped me a lot throughout my career I also would like to thank the board of professors and the independent external reviewers who gave me a lot of useful om comments and advices on my first presentation, their comments are one of the major an Lu contributing factors that allowed me to complete this version of my thesis n them, this thesis would never have been written va I am deeply thankful to my family for their love, support, and sacrifice Without Nguyen Phuc Canh ey t re Ho Chi Minh City, Sep/2016 ii ABBREVIATIONS t to ng hi Words Meanings ADB Asia Development Bank Autoregression AR w Asset Price Channel ep APC n Autoregressive Distributed Lag Model lo ARDL ju Balance Sheet Channel BRICS Group (including Brazil, Russia, India, China and South Africa) yi pl BRICS Bank Lending Channel y th BSC ad BLC al Credit Channel CFC Cash Flow Channel CPI Consumer Price Index DSGE Dynamic Stochastic General Equilibrium Model EC Expectation Channel ECB European Central Bank ECM Error Correction Model EDF Expected Default Frequency ERC Exchange Rate Channel E.U European Union FAVAR Factor Augmented Vector Autoregression FDICIA Federal Deposit Insurance Corporation Improvement Act Fed Federal Reserve System FFR Fed Fund Rate GDP Gross Domestic Production GMM Generalized Method of Moments G7 Canada, France, Germany, Italy, Japan, UK, US n ua CC n va ll fu oi m at nh z z k jm ht vb om l.c gm an Lu n va ey t re iii t to ng hi HLE Household Liquidity Effects HNX Hanoi Stock Exchange HSX Ho Chi Minh Stock Exchange IRC Interest Rate Channel ep Investment, Saving–Liquidity Preference, Money Supply IMF International Monetary Fund IS-LM w n Vietnam Industrial Production lo IPVN ad Inflation Targeting Policy yi Lending Interest Rate pl LER ju IT Impulse Response Function y th IRF London Interbank Offer Rate MPTM Monetary Policy Transmission Mechanism M2 Money Supply definition (expanded money supply) NEER Nominal Effective Exchange Rate NPV Net Present Value OECD Organization for Economic Co-operation and Development OLS Ordinary Least Squares KMV EDF KMV’s Expected Default Frequency QE Quantitative Easing program RDR Rediscounting Rate RFR Refinancing Rate SBV State Bank of Vietnam SME Small and Medium Enterprises S&P 500 S&P 500 Index SVAR Structured Vector Autoregression VAR Vector Autoregression VECM Vector Error Correction Models VIX The implied volatility of S&P 500 index options n ua al LIBOR n va ll fu oi m at nh z z k jm ht vb om l.c gm an Lu n va ey t re iv t to ng hi VND Vietnam Dong (Currency of Vietnam) VNI VNindex VNIBOR Vietnam Interbank Offer Rate VNindex Vietnam composite stock index ep The United Kingdom UPLC Unexpected Price Level Channel U.K w n ju Weighted Average Capital Cost yi World Trade Organization pl WTO US Dollar y th WACC ad USD The United State lo U.S n ua al n va ll fu oi m at nh z z k jm ht vb om l.c gm an Lu n va ey t re v TABLE OF CONTENTS t to ACKNOWLEDGEMENTS i ng hi ABBREVIATIONS ii ep LIST OF TABLES x w LIST OF FIGURES xiv n lo CHAPTER ad The overview of Vietnamese economy and monetary policy yi 1.1 ju y th INTRODUCTION pl The Vietnamese economy 1.1.2 The State Bank of Vietnam 1.1.3 The Vietnamese monetary policy n ua al 1.1.1 n va fu Market interest rates 1.1.4.2 Inflation 1.1.4.3 Exchange rate 1.1.4.4 Credit 1.1.4.5 Stock markets ll 1.1.4.1 oi m at nh z z jm ht vb Research gap identification 1.3 Research objectives and questions 10 1.4 The scope of this study 11 1.5 Research methodologies and data 12 k 1.2 om l.c gm an Lu Research data 13 Some key concepts 13 1.7 The structure of study 15 CHAPTER 17 ey 1.6 t re 1.5.2 n Methodologies 12 va 1.5.1 vi THEORETIAL FRAMEWORK AND LITERATURE REVIEW 17 2.1 Monetary policy 17 t to ng hi ep 2.1.1 Introduction 17 2.1.2 Central bank 18 2.1.3 w n 2.1.4 Monetary policy targets 18 lo Monetary policy tools 19 ad 2.1.5 The ineffectiveness of monetary policy 20 y th Monetary policy and fiscal policy 20 2.1.7 Unconventional monetary policies 21 ju 2.1.6 yi pl al Quantitative easing program 21 2.1.7.2 Inflation targeting policy 22 n n va Summary 23 ll fu 2.1.8 ua 2.1.7.1 Monetary policy transmission 24 oi m 2.2 Introduction 24 2.2.2 Conceptual framework 24 2.2.3 Monetary policy transmission channels 26 at nh 2.2.1 z z jm ht vb Interest rate channel 26 2.2.3.2 Exchange rate channel 28 2.2.3.3 Asset price channel 30 2.2.3.4 Credit channel 31 2.2.3.5 Expectation channel 35 k 2.2.3.1 om l.c an Lu 2.2.4.2 The effectiveness of monetary policy transmission 37 Bank lending channel 38 ey The transmission lags of monetary policy 36 t re 2.2.4.1 n The lag and effectiveness of monetary policy transmission 36 va 2.3 gm 2.2.4 vii t to ng hi ep 2.3.1 Introduction 38 2.3.2 Transmission mechanism 38 2.3.3 Existing conditions 38 2.3.4 Empirical evidences 39 2.3.5 Determinants of bank lending channel 40 w Macroeconomic conditions 41 n 2.3.5.1 lo ad 2.3.5.2 Regulations in banking sector 44 ju yi 2.3.5.4 The competition in banking sector 45 2.3.5.5 Microeconomic determinants 46 pl n ua al Studies of monetary policy transmission and bank lending channel in va 2.4 y th 2.3.5.3 The development of financial markets 43 n developing countries 52 ll fu Studies of monetary policy transmission and bank lending channel in oi m 2.5 2.6 at nh Vietnam 57 Summary and research motivations 59 z z ht vb CHAPTER 61 Monetary policy transmission testing models 61 gm 3.1 k jm METHODOLOGY 61 Introduction 61 3.1.2 The relationships between monetary policy, output and inflation 61 3.1.3 Estimating effects of monetary policy 62 3.1.4 Database in study of monetary policy transmission 65 3.1.5 Proxy variables for monetary policy 65 om l.c 3.1.1 an Lu ey Money supply 66 t re 3.1.5.2 n Policy rates 65 va 3.1.5.1 viii 3.1.6 Variables of commercial bank characteristics in bank lending channel 67 t to ng 3.2 Econometric models for monetary policy transmission testing 68 hi ep Introduction 68 3.2.2 VAR and related models 68 3.2.1 w VAR model 68 n 3.2.2.1 lo ad 3.2.2.2 y th Cointegration models 76 ju 3.2.3 SVAR model 73 yi ECM 76 3.2.3.2 VECM 76 3.2.3.3 ARDL 77 pl 3.2.3.1 n ua al va DSGE model 77 3.2.5 GMM model for panel data 78 ll fu oi m Research methodologies for this study 81 at nh 3.3 n 3.2.4 Introduction 81 3.3.2 Research procedures and testing hypothesizes 81 3.3.3 Vietnam monetary policy transmission testing models 84 z 3.3.1 z k jm ht vb VAR model 84 3.3.3.2 SVAR model 85 om l.c gm 3.3.3.1 Bank lending channel testing model 90 3.3.5 Research data 93 Summary 96 n va 3.4 an Lu 3.3.4 4.1 Monetary policy transmission 97 ey EMPIRICAL EVIDENCES FROM VIETNAM 97 t re CHAPTER 97 cxxvii GMM model with Refinance rate (RFR) Dynamic panel-data estimation, one-step difference GMM t to ng hi Number of obs Number of groups Obs per group: avg max ep Group variable: id Time variable : year Number of instruments = 136 F(9, 173) = 28.23 Prob > F = 0.000 w = = = = = 182 30 6.07 n lo Coef ad dloan y th -.5850573 ju lloan L1 Std Err t P>|t| [95% Conf Interval] -4.73 0.000 -.8289705 -.341144 1197154 3.42 0.001 1731562 645738 -7.62 -4.41 0.000 0.000 -.0609826 -.0437325 -.0358877 -.0167088 5.19 0.000 0228644 0509177 -.0458353 4207563 -.0026604 1.209277 yi 1235772 4094471 drf L1 -.0484352 -.0302206 0063571 0068457 rfdsize 036891 0071065 dsize L1 .1874605 118198 1.59 dcapr L1 .6033085 3070107 1.97 0.051 dliqr L1 .4506191 2571313 1.75 0.081 -.0568992 dllpr L1 1.823232 3.597409 0.51 0.613 -5.277231 pl lgdp n ua al n va ll fu oi m nh at 0.115 z z jm ht vb k 9581375 l.c gm 8.923696 om an Lu Instruments for first differences equation Standard D.(L.lgdp L.drf) GMM-type (missing=0, separate instruments for each period unless collapsed) L(2/7).(L.lloan rfdsize L.dsize L.dcapr L.dllpr L.dliqr) Prob > chi2 = 0.591 ey 0.000 0.870 t re = 122.69 Pr > z = Pr > z = n Sargan test of overid restrictions: chi2(127) -3.65 -0.16 va Arellano-Bond test for AR(1) in first differences: z = Arellano-Bond test for AR(2) in first differences: z = cxxviii Dynamic panel-data estimation, one-step difference GMM t to ng hi Number of obs Number of groups Obs per group: avg max ep Group variable: id Time variable : year Number of instruments = 137 F(9, 173) = 21.37 Prob > F = 0.000 = = = = = 182 30 6.07 w Coef n dloan Std Err t P>|t| [95% Conf Interval] lo 1353723 -4.60 0.000 -.8901783 -.3557905 1311441 3.47 0.001 1955741 7132709 -5.66 -3.98 0.000 0.000 -.0501349 -.0446229 -.0242133 -.0150161 -0.07 0.942 -.1589233 1475899 0.079 -.0270589 4829237 -.2243745 1.093636 y th 4544225 yi lgdp -.6229844 ju ad lloan L1 pl -.0371741 -.0298195 rfdcap -.0056667 0776466 dsize L1 .2279324 1291899 1.76 dcapr L1 .4346308 3338813 1.30 0.195 dliqr L1 .2358314 2759768 0.85 0.394 -.3088838 dllpr L1 1.825834 3.936244 0.46 0.643 -5.943412 al drf L1 n ua 0065665 0075001 n va ll fu oi m at nh z z jm ht vb 7805465 k l.c gm 9.59508 om an Lu Instruments for first differences equation Standard D.(rfdcap L.lgdp L.drf) GMM-type (missing=0, separate instruments for each period unless collapsed) L(2/7).(L.lloan L.dsize L.dcapr L.dllpr L.dliqr) n va Sargan test of overid restrictions: chi2(128) = 131.12 -4.61 0.39 Pr > z = Pr > z = 0.000 0.694 Prob > chi2 = 0.407 ey t re Arellano-Bond test for AR(1) in first differences: z = Arellano-Bond test for AR(2) in first differences: z = cxxix Dynamic panel-data estimation, one-step difference GMM t to ng hi Number of obs Number of groups Obs per group: avg max ep Group variable: id Time variable : year Number of instruments = 137 F(9, 173) = 22.15 Prob > F = 0.000 = = = = = 182 30 6.07 w dloan Coef Std Err t P>|t| [95% Conf Interval] n lo ad lloan L1 .132663 -4.62 0.000 -.874517 -.3508243 1274182 3.59 0.000 2053259 7083146 -5.87 -4.01 0.000 0.000 -.0519709 -.0441826 -.0258291 -.0150382 1.23 0.221 -.0491242 2109094 0.090 -.0339374 469406 -.2569197 1.042861 ju y th 4568202 yi lgdp -.6126706 pl -.0389 -.0296104 rfdliq 0808926 0658723 dsize L1 .2177343 127508 1.71 dcapr L1 .3929704 3292631 1.19 0.234 dliqr L1 .1778483 2761295 0.64 0.520 -.3671681 dllpr L1 1.81706 3.878799 0.47 0.640 -5.838803 al drf L1 n ua 0066223 0073829 n va ll fu oi m at nh z z jm ht vb 7228647 k om l.c gm 9.472923 an Lu Instruments for first differences equation Standard D.(rfdcap L.lgdp L.drf) GMM-type (missing=0, separate instruments for each period unless collapsed) L(2/7).(L.lloan rfdliq L.dsize L.dcapr L.dllpr L.dliqr) Prob > chi2 = 0.355 ey 0.000 0.819 t re = 133.35 Pr > z = Pr > z = n Sargan test of overid restrictions: chi2(128) -4.52 0.23 va Arellano-Bond test for AR(1) in first differences: z = Arellano-Bond test for AR(2) in first differences: z = cxxx Dynamic panel-data estimation, one-step difference GMM t to ng hi Number of obs Number of groups Obs per group: avg max ep Group variable: id Time variable : year Number of instruments = 136 F(9, 173) = 21.83 Prob > F = 0.000 = = = = = 182 30 6.07 Coef w dloan n Std Err t P>|t| [95% Conf Interval] lo 1339519 -4.40 0.000 -.8535196 -.3247387 1299333 3.04 0.003 1379218 6508391 -5.14 -3.94 0.000 0.000 -.0478193 -.043999 -.0212692 -.0146407 1.78 0.076 -.3767718 7.424658 0.084 -.0299682 475317 -.07476 1.242625 y th 3943804 yi lgdp -.5891291 ju ad lloan L1 pl -.0345442 -.0293199 rfdllp 3.523943 1.976275 dsize L1 .2226744 1279999 1.74 dcapr L1 .5839325 3337228 1.75 0.082 dliqr L1 .3514137 2778745 1.26 0.208 -.197047 dllpr L1 -.0074974 4.065604 -0.00 0.999 -8.032071 ua al drf L1 n 0067257 0074371 n va ll fu oi m at nh z z jm ht vb k 8998745 l.c gm 8.017076 om an Lu Instruments for first differences equation Standard D.(L.lgdp L.drf) GMM-type (missing=0, separate instruments for each period unless collapsed) L(2/7).(L.lloan rfdllp L.dsize L.dcapr L.dllpr L.dliqr) Prob > chi2 = 0.528 ey 0.000 0.724 t re = 125.20 Pr > z = Pr > z = n Sargan test of overid restrictions: chi2(127) -4.40 0.35 va Arellano-Bond test for AR(1) in first differences: z = Arellano-Bond test for AR(2) in first differences: z = cxxxi Dynamic panel-data estimation, one-step difference GMM t to ng hi Number of obs Number of groups Obs per group: avg max ep Group variable: id Time variable : year Number of instruments = 137 F(11, 171) = 25.34 Prob > F = 0.000 w dloan Coef Std Err t P>|t| = = = = = 182 30 6.07 [95% Conf Interval] n lo ad lloan L1 y th 4149672 ju lgdp -.5898557 -4.93 0.000 -.8262031 -.3535083 1158313 3.58 0.000 1863238 6436106 -7.96 -4.30 0.000 0.000 -.0621383 -.0415463 -.0374357 -.0154228 5.42 2.74 -0.45 0.000 0.007 0.650 0284199 0606489 -.1530833 0609807 3732843 0958339 -.0404658 4108169 yi 1197342 pl -.049787 -.0284845 rfdsize rfdcap rfdliq 0447003 2169666 -.0286247 0082477 0791909 0630511 dsize L1 .1851755 1143105 1.62 dcapr L1 .3977737 2962155 1.34 0.181 dliqr L1 .3456426 2488766 1.39 0.167 -.1456234 dllpr L1 1.776586 3.469858 0.51 0.609 -5.072685 al drf L1 n ua 0062572 0066171 n va ll fu oi m nh at 0.107 z z vb -.1869361 9824834 k jm ht l.c gm 8369087 om 8.625857 an Lu Instruments for first differences equation Standard D.(rfdcap L.lgdp L.drf) GMM-type (missing=0, separate instruments for each period unless collapsed) L(2/7).(L.lloan rfdliq rfdsize L.dsize L.dcapr L.dllpr L.dliqr) Prob > chi2 = 0.229 ey 0.000 0.879 t re = 137.43 Pr > z = Pr > z = n Sargan test of overid restrictions: chi2(126) -3.61 -0.15 va Arellano-Bond test for AR(1) in first differences: z = Arellano-Bond test for AR(2) in first differences: z = cxxxii Dynamic panel-data estimation, one-step difference GMM t to ng hi Number of obs Number of groups Obs per group: avg max ep Group variable: id Time variable : year Number of instruments = 137 F(12, 170) = 23.20 Prob > F = 0.000 dloan Coef Std Err t P>|t| = = = = = 182 30 6.07 [95% Conf Interval] w n lo lloan L1 ad y th 4123523 ju lgdp -.5891407 -4.91 0.000 -.8257761 -.3525053 1161008 3.55 0.000 1831673 6415373 0066348 0066393 -7.35 -4.26 0.000 0.000 -.0618925 -.0413882 -.0356981 -.0151759 4.88 2.67 -0.31 0.45 0.000 0.008 0.758 0.651 0257586 0551603 -.1500679 -2.909115 0607316 3703101 1095209 4.644319 0.105 -.039376 4125892 -.1790813 9950228 yi 1198751 -.0487953 -.0282821 rfdsize rfdcap rfdliq rfdllp 0432451 2127352 -.0202735 867602 0088583 0798245 0657514 1.913214 dsize L1 .1866066 1144786 1.63 dcapr L1 .4079708 2973896 1.37 0.172 dliqr L1 .3396177 2495019 1.36 0.175 dllpr L1 1.27783 3.643601 0.35 0.726 pl drf L1 n ua al n va ll fu oi m at nh z z jm ht vb k -.1529032 8321385 l.c gm -5.914698 8.470359 om an Lu Instruments for first differences equation Standard D.(rfdcap L.lgdp L.drf) GMM-type (missing=0, separate instruments for each period unless collapsed) L(2/7).(L.lloan rfdsize rfdliq rfdllp L.dsize L.dcapr L.dllpr L.dliqr) Prob > chi2 = 0.206 ey 0.000 0.891 t re = 137.71 Pr > z = Pr > z = n Sargan test of overid restrictions: chi2(125) -3.59 -0.14 va Arellano-Bond test for AR(1) in first differences: z = Arellano-Bond test for AR(2) in first differences: z = cxxxiii GMM models with Rediscount rate (RDR) Dynamic panel-data estimation, one-step difference GMM t to ng hi ep Number of obs Number of groups Obs per group: avg max Group variable: id Time variable : year Number of instruments = 136 F(9, 173) = 27.69 Prob > F = 0.000 w = = = = = 182 30 6.07 n Coef lo dloan Std Err t P>|t| [95% Conf Interval] ad yi 4103985 pl lgdp -.5834134 ju y th lloan L1 -4.71 0.000 -.8279936 -.3388333 1200324 3.42 0.001 1734819 6473151 0057986 0062555 -7.51 -4.38 0.000 0.000 -.0549722 -.0397759 -.0320819 -.015082 5.18 0.000 0207942 0463897 0.115 -.0461672 42153 -.0316502 1.195193 al 1239151 -.0435271 -.027429 rddsize 0335919 0064839 dsize L1 .1876814 1184781 1.58 dcapr L1 .5817714 3107865 1.87 0.063 dliqr L1 .4454582 2580602 1.73 0.086 dllpr L1 1.916347 3.607031 0.53 0.596 n ua drd L1 n va ll fu oi m at nh z z jm ht vb k -.0638935 9548099 l.c gm -5.203108 9.035801 om an Lu Instruments for first differences equation Standard D.(L.lgdp L.drd) GMM-type (missing=0, separate instruments for each period unless collapsed) L(2/7).(L.lloan rddsize L.dsize L.dcapr L.dllpr L.dliqr) Prob > chi2 = 0.602 ey 0.000 0.856 t re = 122.27 Pr > z = Pr > z = n Sargan test of overid restrictions: chi2(127) -3.68 -0.18 va Arellano-Bond test for AR(1) in first differences: z = Arellano-Bond test for AR(2) in first differences: z = cxxxiv Dynamic panel-data estimation, one-step difference GMM t to ng hi ep Group variable: id Time variable : year Number of instruments = 137 F(9, 173) = 20.87 Prob > F = 0.000 Number of obs Number of groups Obs per group: avg max = = = = = 182 30 6.07 w n dloan Coef Std Err t P>|t| [95% Conf Interval] lo ad lloan L1 .4488371 yi lgdp ju y th -.6176758 -4.55 0.000 -.8858256 -.349526 1316775 3.41 0.001 1889359 7087384 -5.54 -3.91 0.000 0.000 -.0449031 -.0403036 -.0212978 -.0132444 -0.06 0.956 -.1440409 1361115 0.085 -.0309777 480566 -.2662507 1.065063 pl 1358566 -.0331004 -.026774 rddcap -.0039647 0709688 dsize L1 .2247942 1295853 dcapr L1 .3994062 3372513 1.18 0.238 dliqr L1 .2271046 2769065 0.82 0.413 -.3194454 dllpr L1 1.913479 3.948611 0.48 0.629 -5.880176 ua al drd L1 n 0059797 0068547 n va ll fu oi m at nh 1.73 z z jm ht vb k 7736546 l.c gm 9.707133 om an Lu Instruments for first differences equation Standard D.(rddcap L.lgdp L.drd) GMM-type (missing=0, separate instruments for each period unless collapsed) L(2/7).(L.lloan L.dsize L.dcapr L.dllpr L.dliqr) Prob > chi2 = 0.430 ey 0.000 0.717 t re = 130.15 Pr > z = Pr > z = n Sargan test of overid restrictions: chi2(128) -4.61 0.36 va Arellano-Bond test for AR(1) in first differences: z = Arellano-Bond test for AR(2) in first differences: z = cxxxv Dynamic panel-data estimation, one-step difference GMM t to ng hi ep Group variable: id Time variable : year Number of instruments = 136 F(9, 173) = 21.15 Prob > F = 0.000 Number of obs Number of groups Obs per group: avg max = = = = = 182 30 6.07 w dloan Coef Std Err t P>|t| [95% Conf Interval] n lo ad lloan L1 ju y th 4069327 yi lgdp -.5747533 -4.26 0.000 -.8408868 -.3086198 1303856 3.12 0.002 1495813 6642842 0060813 0067944 -5.80 -3.99 0.000 0.000 -.0472911 -.0405032 -.0232849 -.0136821 1.37 0.173 -.0365204 2019964 0.115 -.0500853 4584088 -.2074774 1.128328 pl 134835 -.035288 -.0270927 rddliq 082738 dsize L1 .2041618 1288128 dcapr L1 .4604255 3383892 1.36 dliqr L1 .2784896 282138 0.99 0.325 dllpr L1 2.134138 3.917557 0.54 0.587 n ua al drd L1 va n 0604216 ll fu oi m 1.58 at nh z z 0.175 jm ht vb -.2783863 8353655 k gm 9.866499 om l.c -5.598224 an Lu Instruments for first differences equation Standard D.(L.lgdp L.drd) GMM-type (missing=0, separate instruments for each period unless collapsed) L(2/7).(L.lloan rddliq L.dsize L.dcapr L.dllpr L.dliqr) Prob > chi2 = 0.518 ey 0.000 0.851 t re = 125.61 Pr > z = Pr > z = n Sargan test of overid restrictions: chi2(127) -4.44 0.19 va Arellano-Bond test for AR(1) in first differences: z = Arellano-Bond test for AR(2) in first differences: z = cxxxvi Dynamic panel-data estimation, one-step difference GMM t to ng hi ep Group variable: id Time variable : year Number of instruments = 136 F(9, 173) = 21.41 Prob > F = 0.000 w dloan Coef Number of obs Number of groups Obs per group: avg max Std Err t = = = = = 182 30 6.07 P>|t| [95% Conf Interval] n lo ad lloan L1 ju y th lgdp -.5860103 3916911 -4.37 0.000 -.850976 -.3210447 1302048 3.01 0.003 1346967 6486856 0061146 0067931 -5.03 -3.88 0.000 0.000 -.0428092 -.0397405 -.0186717 -.0129244 1.78 0.076 -.3441922 6.754052 1.72 0.087 -.0327325 473558 -.112087 1.220676 yi 1342433 pl -.0307405 -.0263325 rddllp 3.20493 1.798142 dsize L1 .2204128 1282546 dcapr L1 .5542944 3376183 1.64 dliqr L1 .3429438 2786374 1.23 0.220 dllpr L1 .1694837 4.056484 0.04 0.967 n ua al drd L1 n va ll fu oi m at nh z 0.102 z ht vb 8929104 k jm -.2070228 gm 8.176056 l.c -7.837088 om Instruments for first differences equation Standard D.(L.lgdp L.drd) GMM-type (missing=0, separate instruments for each period unless collapsed) L(2/7).(L.lloan rddllp L.dsize L.dcapr L.dllpr L.dliqr) an Lu n va = 124.90 Pr > z = Pr > z = 0.000 0.743 Prob > chi2 = 0.536 ey Sargan test of overid restrictions: chi2(127) -4.41 0.33 t re Arellano-Bond test for AR(1) in first differences: z = Arellano-Bond test for AR(2) in first differences: z = cxxxvii Dynamic panel-data estimation, one-step difference GMM t to ng hi ep Group variable: id Time variable : year Number of instruments = 137 F(11, 171) = 24.73 Prob > F = 0.000 w dloan Coef Number of obs Number of groups Obs per group: avg max Std Err t P>|t| = = = = = 182 30 6.07 [95% Conf Interval] n lo ad lloan L1 .1203376 -4.87 0.000 -.8235033 -.3484265 4125666 1164568 3.54 0.001 1826886 6424446 0057235 006055 -7.83 -4.27 0.000 0.000 -.0561118 -.0378133 -.033516 -.013909 5.41 2.73 -0.45 0.000 0.007 0.654 025844 0546822 -.1394782 0555764 3401483 087762 0.109 -.0414336 4118077 ju y th lgdp -.5859649 yi pl -.0448139 -.0258612 rddsize rddcap rddliq 0407102 1974152 -.0258581 0075313 0723089 0575602 dsize L1 .185187 1148066 1.61 dcapr L1 .3852593 2996334 1.29 0.200 dliqr L1 .3409187 2493683 1.37 0.173 -.1513178 dllpr L1 1.862431 3.486512 0.53 0.594 -5.019714 n ua al drd L1 n va ll fu oi m at nh z z vb -.2061973 976716 k jm ht l.c gm 8331552 om 8.744577 an Lu Instruments for first differences equation Standard D.(rddcap L.lgdp L.drd) GMM-type (missing=0, separate instruments for each period unless collapsed) L(2/7).(L.lloan rddsize rddliq L.dsize L.dcapr L.dllpr L.dliqr) Prob > chi2 = 0.261 ey 0.000 0.879 t re = 135.72 Pr > z = Pr > z = n Sargan test of overid restrictions: chi2(126) -3.65 -0.15 va Arellano-Bond test for AR(1) in first differences: z = Arellano-Bond test for AR(2) in first differences: z = cxxxviii Dynamic panel-data estimation, one-step difference GMM t to ng hi ep Group variable: id Time variable : year Number of instruments = 137 F(12, 170) = 22.64 Prob > F = 0.000 Number of obs Number of groups Obs per group: avg max w Std Err t P>|t| = = = = = 182 30 6.07 Coef [95% Conf Interval] lloan L1 -.5852693 1204707 -4.86 0.000 -.8230805 -.347458 4099218 1167258 3.51 0.001 1795032 6403404 0060628 0060764 -7.25 -4.22 0.000 0.000 -.055895 -.0376639 -.0319589 -.0136742 4.87 2.66 -0.31 0.45 0.000 0.009 0.761 0.655 0234476 0496784 -.136824 -2.663003 0553627 3374584 1001694 4.223526 0.107 -.0404088 4134701 n dloan lo ad ju y th lgdp yi -.043927 -.0256691 rddsize rddcap rddliq rddllp 0394052 1935684 -.0183273 7802614 0080838 072892 0600282 1.744293 dsize L1 .1865307 1149633 1.62 dcapr L1 .3953321 3007841 1.31 0.191 dliqr L1 .3361239 2498535 1.35 0.180 dllpr L1 1.398313 3.641039 0.38 0.701 pl drd L1 n ua al n va ll fu oi m at nh z z vb -.1984207 9890849 jm ht 8293388 k -.157091 l.c gm -5.789158 8.585784 om an Lu Instruments for first differences equation Standard D.(rddcap L.lgdp L.drd) GMM-type (missing=0, separate instruments for each period unless collapsed) L(2/7).(L.lloan rddsize rddliq rddllp L.dsize L.dcapr L.dllpr L.dliqr) Prob > chi2 = 0.236 ey 0.000 0.892 t re = 136.02 Pr > z = Pr > z = n Sargan test of overid restrictions: chi2(125) -3.62 -0.14 va Arellano-Bond test for AR(1) in first differences: z = Arellano-Bond test for AR(2) in first differences: z = cxxxix The effects of the 2008 global financial crisis on bank lending channel Dynamic panel-data estimation, one-step difference GMM t to ng hi Number of obs Number of groups Obs per group: avg max ep Group variable: id Time variable : year Number of instruments = 154 F(13, 169) = 20.44 Prob > F = 0.000 w Coef n dloan Std Err t P>|t| = = = = = 182 30 6.07 [95% Conf Interval] lo ad lloan L1 y th 3722204 ju lgdp -.5360774 -4.41 0.000 -.7759138 -.2962409 1213933 3.07 0.003 1325777 611863 0060287 0065583 -6.83 -4.71 0.000 0.000 -.0530497 -.0438508 -.029247 -.0179571 5.29 2.72 0.10 0.45 0.000 0.007 0.917 0.650 0009501 0017728 -.0033743 -.0801694 0020805 0111313 0037518 1280507 0.324 -.1156604 3484271 -.538741 6592341 yi 1214915 -.0411484 -.030904 vixidsize vixidcap vixidliq vixidllp 0015153 0064521 0001887 0239406 0002863 0023703 0018049 052738 lsize L1 .1163833 117544 0.99 capr L1 .0602466 303423 0.20 0.843 liqr L1 .3540715 2463479 1.44 0.152 llpr L1 2.634043 3.615388 0.73 0.467 -4.503096 vix 0096373 0028481 3.38 0.001 0040149 pl di L1 n ua al n va ll fu oi m at nh z z vb 8403869 k jm ht -.132244 l.c gm 9.771181 0152596 om Prob > chi2 = 0.357 ey 0.000 0.983 t re = 146.55 Pr > z = Pr > z = n Sargan test of overid restrictions: chi2(141) -4.27 0.02 va Arellano-Bond test for AR(1) in first differences: z = Arellano-Bond test for AR(2) in first differences: z = an Lu Instruments for first differences equation Standard D.(vixidcap L.lgdp L.di) GMM-type (missing=0, separate instruments for each period unless collapsed) L(2/7).(L.lloan L2.vixidsize L2.lsize vixidliq L.capr L.llpr L2.liqr vixidllp) cxl Dynamic panel-data estimation, one-step difference GMM t to ng hi Number of obs Number of groups Obs per group: avg max ep Group variable: id Time variable : year Number of instruments = 138 F(13, 169) = 21.70 Prob > F = 0.000 Std Err t P>|t| = = = = = 182 30 6.07 w Coef [95% Conf Interval] lloan L1 -.6713953 1246684 -5.39 0.000 -.9175032 -.4252873 4735741 1220599 3.88 0.000 2326156 7145325 0061089 0061734 -7.07 -4.81 0.000 0.000 -.055275 -.0419055 -.0311559 -.0175318 4.45 2.18 -0.52 0.58 0.000 0.031 0.604 0.563 0007929 0005353 -.005523 -.0874316 0020549 0108506 0032209 160085 0.046 0045752 4620688 -.0384902 1.118541 n dloan lo ad ju y th lgdp -.0432154 -.0297186 vixrddsize vixrddcap vixrddliq vixrddllp 0014239 0056929 -.0011511 0363267 dsize L1 .233322 1158739 dcapr L1 .5400253 2930527 1.84 dliqr L1 .3642834 2535739 1.44 0.153 dllpr L1 2.492768 3.64427 0.68 0.495 -4.701387 vix 0067295 0026312 2.56 0.011 0015353 yi drd L1 pl ua al n 0003196 0026127 0022147 062691 n va ll fu m oi 2.01 at nh z 0.067 z vb 8648638 k jm ht -.1362969 l.c gm 9.686923 0119238 om an Lu Instruments for first differences equation Standard D.(vixrddcap L.lgdp L.drd vix) GMM-type (missing=0, separate instruments for each period unless collapsed) L(2/7).(L.lloan vixrddsize vixrddliq vixrddllp L.dsize L.dcapr L.dllpr L.dliqr) Prob > chi2 = 0.182 ey 0.000 0.804 t re = 139.20 Pr > z = Pr > z = n Sargan test of overid restrictions: chi2(125) -3.74 -0.25 va Arellano-Bond test for AR(1) in first differences: z = Arellano-Bond test for AR(2) in first differences: z = cxli Dynamic panel-data estimation, one-step difference GMM t to ng hi Number of obs Number of groups Obs per group: avg max ep Group variable: id Time variable : year Number of instruments = 138 F(13, 169) = 21.90 Prob > F = 0.000 Std Err t P>|t| = = = = = 182 30 6.07 w Coef [95% Conf Interval] lloan L1 -.6716043 1243022 -5.40 0.000 -.9169894 -.4262192 lgdp 4758143 1215032 3.92 0.000 2359548 7156739 006703 0067567 -7.15 -4.79 0.000 0.000 -.0611457 -.0457366 -.0346807 -.0190597 4.44 2.18 -0.52 0.59 0.000 0.031 0.603 0.556 0008629 0005946 -.0060469 -.0952555 0022444 011905 0035192 1765636 0.049 0013379 457869 -.0694004 1.088166 n dloan lo ad ju y th -.0479132 -.0323982 vixrfdsize vixrfdcap vixrfdliq vixrfdllp 0015536 0062498 -.0012639 040654 dsize L1 .2296034 1156301 1.99 dcapr L1 .5093827 2931883 1.74 0.084 dliqr L1 .3628734 2535654 1.43 0.154 dllpr L1 2.417578 3.640104 0.66 0.507 -4.768353 vix 0068033 0026239 2.59 0.010 0016235 yi drf L1 pl ua al n 0003499 0028647 0024229 0688463 n va ll fu oi m at nh z z ht vb 8634369 k jm -.1376901 l.c gm 9.603508 0119831 om an Lu Instruments for first differences equation Standard D.(vixrfdcap L.lgdp L.drf vix) GMM-type (missing=0, separate instruments for each period unless collapsed) L(2/7).(L.lloan vixrfdsize vixrfdliq vixrfdllp L.dsize L.dcapr L.dllpr L.dliqr) Prob > chi2 = 0.180 ey 0.000 0.791 t re = 139.33 Pr > z = Pr > z = n Sargan test of overid restrictions: chi2(125) -3.74 -0.26 va Arellano-Bond test for AR(1) in first differences: z = Arellano-Bond test for AR(2) in first differences: z =