The seminar will be held in Visitor Centre at 2 pm, in English language.
Discussant: Márton Nagy
Abstract
In this paper we investigate the working of bank lending channel in Hungary, following the theory of bank lending channel using the generally applied approach of Kashyap and Stein (1995, 2000) that relies on discovering asymmetric movements of loan quantities with respect to certain bank-characteristics, using a panel-ARDL model.
We consider in addition to the usual bank-specific variables (such as size, liquidity, and capitalization) foreign ownership and as a direct proxy for the cost of financing of a bank we use average cost of financing. We find heterogeneity among banks which is line with the bank-lending theory in the majority of cases (in most specifications for most variables). That, in general can be taken as a support for the bank-lending channel especially, because we find that demand of loans can be considered reasonably homogeneous with respect to the characteristics we rely upon. We find that a rise in the nominal short-term interest rate results in a decrease in the credit growth. Although the average effect of interest rate is negative on the credit growth it can be attributed to the demand effects and/or balance sheet channel rather then the effect of decreasing lending supply arising from the shrinking sources: in contrast to theory of the bank lending channel, the aggregate effect of interest rate changes proved to be insignificant on total deposits and other liability items.
JEL classifications:
Keywords: monetary transmission, credit channel, bank lending channel, external finance premium, ARDL model