Sektor bankowy i sfera realna gospodarki Polski – analiza na podstawie modelu VAR
DOI:
https://doi.org/10.18778/0208-6018.295.03Słowa kluczowe:
banking sector, macroeconomy, macroprudential policy, capital requirements, VAR modelAbstrakt
Analiza opiera się na modelu wektorowej autoregresji (VAR) do badania wpływu sektora bankowego w Polsce na sferę realną. Model obejmuje podstawowe zmienne dla sektora bankowego – współczynnik wypłacalności oraz wskaźnik kredytów z utratą wartości – oraz główne wskaźniki makroekonomiczne. Podano również kontekst polityki makroostrożnościowej. Analiza funkcji reakcji oraz dekompozycji wariancji pozwoliła na wyciągnięcie wniosków, iż istnieją silne wzajemne powiązania między sektorem bankowym a sferą realną. Zaobserwowano spadek PKB poniżej produktu potencjalnego na skutek wyższych wymogów kapitałowych, jednak ograniczenie wzrostu gospodarczego było nieznaczne.
Pobrania
Bibliografia
Aghion P., Bolton P., Dewatripont M. (2000), Contagious bank failures in a free banking system, European Economic Review, 44(4-6), 713-718.
Google Scholar
DOI: https://doi.org/10.1016/S0014-2921(00)00058-1
Alves I. (2004), Sectoral fragility: factors and dynamics, mimeo, ECB.
Google Scholar
Angelini P., Clerc L., Curdia V., Gambacorta L., Gerali A., Locarno A., Motto R., Roeger W., Van den Heuvel S., Vlcek J. (2011), BASEL III: Long-term impact on economic performance and fluctuations, BIS Working Papers, 338, Bank for International Settlements.
Google Scholar
DOI: https://doi.org/10.2139/ssrn.1785522
Bank of England (2009), The role of macroprudential policy: a discussion paper, November.
Google Scholar
Basel Committee on Banking Supervision (2010), The Basel Committee's response to the financial crisis: report to the G20, Bank for International Settlements, October.
Google Scholar
Berger A.N., Udell G.F. (1994), Did risk-based capital allocate bank credit and cause a "credit crunch" in the United States?, Journal of Money, Credit, and Banking, 26(3), Part 2: Federal Credit Allocation: Theory, Evidence, and History, 585-628.
Google Scholar
DOI: https://doi.org/10.2307/2077994
Bemanke B.S. (2008), Reducing systemic risk, speech at the Federal Reserve Bank of Kansas City's Annual Economic Symposium, Jackson Hole, Wyoming.
Google Scholar
Bemanke B.S., Gertler M. (1995), Inside the black box: the credit channel of monetary policy transmission, Journal of Economic Perspectives 9(4), 27-48.
Google Scholar
DOI: https://doi.org/10.1257/jep.9.4.27
Borio C.E.V. (2003), Towards a macroprudential framework for financial supervision and regulation?, BIS Working Paper, 128.
Google Scholar
DOI: https://doi.org/10.2139/ssrn.841306
Borio C.E.V., Furfine C, Lowe P. (2001), Procyclicality of the financial system and financial stability: issues and policy options [in:] Marrying the macro- and microprudential dimensions of financial stability, BIS Papers, 1, 1-57.
Google Scholar
Brinkmann E.J., Horvitz P.M. (1995), Risk-based capital standards and the credit crunch, Journal of Money, Credit, and Banking, 27(3), 848-863.
Google Scholar
DOI: https://doi.org/10.2307/2077755
Catalan M., Ganapolski E. (2005), Cyclical implications of changing capital requirements in a macroeconomic framework, IMF Working Paper, 05/168, IMF.
Google Scholar
DOI: https://doi.org/10.5089/9781451861877.001
Clement P. (2010), The term "macroprudential": origins and evolution, BIS Quarterly Review, March.
Google Scholar
Crockett A. (2000), Marrying the micro- and macroprudential dimensions of financial stability, BIS Speeches, September 21.
Google Scholar
ECB (2010), Financial stability review, European Central Bank, December.
Google Scholar
French K.R., Baily M.N., Campbell J.Y., Cochrane J.H., Diamond D.W., Duffie D., Kashyap A.K., Mishkin F.S., Rajan R.G., Scharfstein D.S., Shiller R.J., Shin H.S., Slaughter M.J., Stein J.C., Stulz R.M. (2010), The squam lake report: fixing the financial system, Princeton University Press.
Google Scholar
DOI: https://doi.org/10.1111/j.1745-6622.2010.00284.x
Goodfriend M., McCallum B.T. (2007), Banking and interest rates in monetary policy analysis: a quantitative exploration, Journal of Monetary Economics, 54(5), 1480-1507.
Google Scholar
DOI: https://doi.org/10.1016/j.jmoneco.2007.06.009
Goodhart C, Segoviano M.A. (2004), Basel and procyclicality: a comparison of the standardised and IRB approaches to an improved credit risk method, Discussion Paper, 524, Financial Markets Group, London School of Economics and Political Science, London, UK.
Google Scholar
Hanson S.G., Kashyap A.K., Stein J.C. (2011), A macroprudential approach to financial regulation, Journal of Economic Perspectives, 25(1), 3-28.
Google Scholar
DOI: https://doi.org/10.1257/jep.25.1.3
Hodgman D.R. (1960), Credit risk and credit rationing, Quarterly Journal of Economics, 74(2), 258-278.
Google Scholar
DOI: https://doi.org/10.2307/1884253
Hoggarth G., Sorensen S., Zicchino L. (2005), Stress tests of UK banks using a VAR approach, Working Paper, 282, Bank of England.
Google Scholar
DOI: https://doi.org/10.2139/ssrn.872693
Jackson P., Furfine C, Groeneveld H., Hancock D., Jones D., Perraudin W., Radecki L., Yoneyama M. (1999), Capital requirements and bank behaviour: the impact of the Basle Accord, BIS Working Paper, 1.
Google Scholar
Jaffee D.M. (1971), Credit rationing and the commercial loan market, John Wiley & Sons, N.Y.
Google Scholar
Jaffee D.M., Modigliani F. (1969), A theory and test of credit rationing, American Economic Review, 59(5), 850-872.
Google Scholar
Kahaner D., Moler C, Nash S. (1988), Numerical methods and software, Prentice Hall.
Google Scholar
Kashyap A.K, Rajan R., Stein J.C. (2008), Rethinking capital regulation, [in:] Maintaining stability in a changing financial system, Federal Reserve Bank of Kansas City, 431-471.
Google Scholar
Kashyap A.K., Stein J.C. (2004), Cyclical implications of the Basel II capital standards, Economic Perspectives, Federal Reserve Bank of Chicago, Q I, 18-31.
Google Scholar
Keeley M.C. (1988), Bank capital regulation in the 1980s: effective or ineffective?, Economic Review, Federal Reserve Bank of San Francisco, 3-20.
Google Scholar
Macroeconomic Assessment Group (2010), Assessing the macroeconomic impact of the transition to stronger capital and liquidity requirements, Final Report, Bank for International Settlements, December.
Google Scholar
Perotti E., Suarez J. (2009), Liquidity insurance for systemic crises, CEPR Policy Insight, 31, February.
Google Scholar
Pesaran H.M., Schuermann T., Treutler B.J., Weiner S.M. (2004), Macroeconomic dynamics and credit risk: a global perspective, Wharton Financial Center Working Paper, 3-13.
Google Scholar
DOI: https://doi.org/10.2139/ssrn.432903
Pesaran H.M., Shin Y. (1998), Impulse response analysis in linear multivariate models, Economics Letters, 58, 17-29.
Google Scholar
DOI: https://doi.org/10.1016/S0165-1765(97)00214-0
Santomero A.M., Watson R.D. (1977), Determining an optimal capital standard for the banking industry, Journal of Finance, 32(4), 1267-82.
Google Scholar
DOI: https://doi.org/10.1111/j.1540-6261.1977.tb03325.x
Saporta V., Haldane A., Hall S., Tanaka M. (2004), Financial stability and macroeconomic models, Bank of England Financial Stability Review, 16, 80-88.
Google Scholar
Sławiński A. (2013), Institutional causes of the global banking crisis and the emergence of macro-prudential countercyclical policy, [in:] Milo W., Wdowiński P. (eds.), Financial Markets and Macroprudential Policy, Folia Oeconomica, Łódź University Press (this volume).
Google Scholar
Stiglitz J.E., Weiss A. (1981), Credit rationing in markets with imperfect information, American Economic Review, 71(3), 393-410.
Google Scholar
VanHoose D. (2008), Bank capital regulation, economic stability, and monetary policy: what does the academic literature tell us?, Atlantic Economic Journal, 36(1), 1-14.
Google Scholar
DOI: https://doi.org/10.1007/s11293-007-9100-z
Wdowiński P. (2012), Wpływ wyższych wymogów kapitałowych w sektorze bankowym na wzrost gospodarczy, Wiadomości Statystyczne, 7, 31-52.
Google Scholar
DOI: https://doi.org/10.59139/ws.2012.07.3
Pobrania
Opublikowane
Jak cytować
Numer
Dział
