Artikel
Effectiveness of monetary and macroprudential shocks on consumer credit growth and volatility in Turkey
This paper proposes a panel VAR model to uncover the effect of monetary policy and macroprudential tightening probability on general purpose loans, housing loans, vehicle loans, credit cards and their respective volatilities in Turkey. To conduct our analysis, first, we compare a number of stochastic volatility models using our loan and credit card series in a formal Bayesian model comparison exercise, in order to determine the best volatility model for our series. Second we disclose the latent probability of macroprudential tightening from the binary information of policy episodes, using an instrumental variable probit model estimated by conditional maximum likelihood with heteroscedasticity robust standard errors. Lastly we estimate the dynamic impact of monetary policy and macroprudential measures using a panel VAR, incorporating the latent probability of tightening episodes, credit growth, industrial production growth, loan rates, inflation and credit growth volatilities into the endogenous system of equations. We conclude that macroprudential tightening is effective in dampening credit growth, credit growth volatility and reducing consumer price inflation. Besides, this effect is more prominent when macroprudential tools are administered in coordination with monetary policy.
- Sprache
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Englisch
- Erschienen in
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Journal: Central Bank Review (CBR) ; ISSN: 1303-0701 ; Volume: 18 ; Year: 2018 ; Issue: 2 ; Pages: 69-83 ; Amsterdam: Elsevier
- Klassifikation
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Wirtschaft
- Thema
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Consumer loans
Monetary policy
Macroprudential policy
Stochastic volatility models
Credit growth volatility
IV probit model
Panel VAR model
- Ereignis
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Geistige Schöpfung
- (wer)
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Chadwick, Meltem Gulenay
- Ereignis
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Veröffentlichung
- (wer)
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Elsevier
- (wo)
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Amsterdam
- (wann)
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2018
- DOI
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doi:10.1016/j.cbrev.2018.03.001
- Handle
- Letzte Aktualisierung
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10.03.2025, 11:44 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Chadwick, Meltem Gulenay
- Elsevier
Entstanden
- 2018