The role of bank balance sheets in monetary policy transmission. Evidence from Poland

Mariusz Kapuściński

No 245, NBP Working Papers from Narodowy Bank Polski

Abstract: This study investigates whether the effects of monetary policy are amplified through its impact on bank balance sheet strength. Or, in other words, it tests whether the bank lending channel of the monetary transmission mechanism (as reformulated by Disyatat, 2011) works. To this end, panel vector autoregressions with high frequency identification and univariate panel regressions are applied to data for Poland. Counterfactual exercises show that the analysed channel accounts for about 23% of a decrease in lending following a monetary policy impulse. This is another piece of evidence showing that the financial accelerator works in both non-financial and financial sector. In some cases it can make the interplay between monetary and macroprudential policy non-trivial.

Keywords: monetary transmission mechanism; bank capital; panel vector autoregressions; high frequency identification (search for similar items in EconPapers)
JEL-codes: C23 C33 E43 E51 E52 (search for similar items in EconPapers)
Date: 2016
New Economics Papers: this item is included in nep-acc, nep-cba, nep-eec, nep-mac and nep-mon
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Related works:
Journal Article: The Role of Bank Balance Sheets in Monetary Policy Transmission: Evidence from Poland (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:nbp:nbpmis:245

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