The Operation of Credit Channel in Fragile Five Countries

Year 2020, Volume: 8 Issue: 1, 55 - 78, 29.06.2020

Derya Mercan , Şerif Canbay

Abstract

Bu çalışmada parasal aktarım mekanizması kanallarından kredi kanalının ampirik olarak incelenmesi amaçlanmaktadır. Bu amaç doğrultusunda Kırılgan Beşli olarak adlandırılan Brezilya, Endonezya, Hindistan, Güney Afrika ve Türkiye için 2001:Q1-2019Q4 çeyrek dönem verileriyle panel Granger nedensellik analizi yapılmıştır. Granger nedensellik analizi sonuçlarına göre faiz oranları kredi hacminin Granger nedeni iken, kredi hacmi de enflasyonun Granger nedenidir. Fakat kredi hacmi ile büyüme arasında bir nedensellik ilişkisi tespit edilmemiştir. Büyüme ve kredi hacmi arsında nedensellik ilişkisinin olmaması kredi kanalının söz konusu ülkelerde kısmen işlediğini göstermektedir.

Keywords

Kredi Kanalı, Para Politikası, Kırılgan Beşli Ülkeleri, Panel Granger Nedensellik Analizi

The Operation of Credit Channel in Fragile Five Countries

Abstract

In this paper, it is aimed to empirically examine the credit channel which is one of the channels of monetary transmission mechanism. The operation of credit channel is investigated for the countries Brazil, Indonesia, India, South Africa and Turkey which are categorized as fragile five countries. For this purpose panel Granger causality analysis is conducted with 2001:Q1-2019:Q4 quarterly data. According to the results, the interest rates Granger-cause the credit volume and the credit volume Granger-causes inflation. But the credit volume fails to Granger-cause growth. The absence of a causal relationship between growth and credit implies that the credit channel is partially operating in these countries.

Keywords

Credit Channel, Monetary Policy,, Fragile Five Countries, Panel Granger Causality

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