Monetary Transmission in Poland: Some Evidence on Interest Rate and Credit Channels

NBP Bureau of Macroeconomic Research Working Paper No. 24/2002

28 Pages Posted: 26 Jul 2003

See all articles by Ewa Wrobel

Ewa Wrobel

National Bank of Poland - Bureau of Macroeconomic Research

Malgorzata Pawlowska

National Bank of Poland

Date Written: December 2002

Abstract

In the paper we show the macroeconomic effects of a monetary policy shock using both recursive and non-recursive SVAR decomposition. We find that the responsiveness of the CPI index and output in Poland is smaller and slower than in the euro zone. Using panel data we check how bank-specific characteristics affect operation of the lending channel. In contrast to the results for the euro area the degree of liquidity of an average bank seems not to work in a way predicted by the literature. Credit channel seems to operate rather through the degree of capitalisation and bank's size. A plausible reason is the structural overliquidity of the banking sector. On the other hand, the pass-through from the market interest rates to the loan and deposit rates is in general not slower than in the euro zone.

Keywords: interest rate pass-through

JEL Classification: E0, E3, E4, E5

Suggested Citation

Wrobel, Ewa and Pawlowska, Malgorzata, Monetary Transmission in Poland: Some Evidence on Interest Rate and Credit Channels (December 2002). NBP Bureau of Macroeconomic Research Working Paper No. 24/2002, Available at SSRN: https://ssrn.com/abstract=395741 or http://dx.doi.org/10.2139/ssrn.395741

Ewa Wrobel (Contact Author)

National Bank of Poland - Bureau of Macroeconomic Research ( email )

Swietokrzyska 11/21
Warsaw
Poland
+48 22 829 9165 (Phone)

Malgorzata Pawlowska

National Bank of Poland ( email )

00-919 Warsaw
Poland

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