EFFECT OF MONETARY POLICY INSTRUMENTS ON SHADOW BANKING
- Monetary Policy, Shadow Banking, Panel ARDL
- Para Politikası, Gölge Bankacılık, Panel ARDL
How to Cite
Shadow banks are financial mediators. There are maturity, credit, and liquidity transformation without access to central bank liquidity and public sector credit guarantees in their performance. The principle purpose of this study is to answer the question of the relationship between shadow banking and monetary policy, all financial activities that require a private or public payment guarantee other than traditional banking. This study analyses the short and long-term effects of national income, policy rate, CPI and money supply (M1) on shadow banking by using Panel ARDL method in selected ten countries throughout 2002-2016. The findings of the analysis point out that there is a short- and significant long-term relationship between the indicators discussed. Short-term PMG estimation results indicate that the long-term equilibrium will be reached over for approximately four years. Also, long-term PMG estimation results also pointed to the existence of a significant relationship between indicators, apart from national income. It is determined that the money supply and policy interest rate had a positive relation and the consumer price index had a negative relation with shadow banking.
- Adrian, T., Ashcraft, A., Boesky, H., & Pozsar, Z. (2012). Shadow banking. Revue d'économie financière, (1), 157-184.
- Altunbas, Y., Gambacorta, L., ve Marques-Ibanez, D. (2009). Securitisation and the bank lending channel. European Economic Review, 53(8), 996-1009.
- Claessens, S., & Ratnovski, L. (2014). What Is Shadow Banking? IMF Working Paper. WP/14/25. IMF. Research Department.
- Elliott, D., Kroeber, A., ve Qiao, Y. (2015). Shadow banking in China: A primer. Research paper, The Brookings Institution.
- Gabrieli, T., Pilbeam, K., & Shi, B. (2018). The impact of shadow banking on the implementation of Chinese monetary policy. International Economics and Economic Policy, 15(2), 429-447.
- Gorton, G., ve Metrick, A. (2012). Securitised banking and the run on repo. Journal of Financial economics, 104(3), 425-451.
- Hussain, A., & Bao, J. (2019). The impacts of Shadow banking system on economy. An empirical analysis. Journal of Applied Finance and Banking, 9(3), 1-11.
- Im, K. S., Pesaran, M. H., & Shin, Y. (2003). Testing for unit roots in heterogeneous panels. Journal of econometrics, 115(1), 53-74.
- Jianjun, L., ve Xun, H. (2016). The Macroeconomic Effect of Shadow Credit Market Financing. Applied Economics and Finance, 3(3), 158-171.
- Kodres, L. E. (2013). What is shadow banking. Finance and Development, 50(2), 42-43.
- Levin, A., Lin, C. F., & Chu, C. S. J. (2002). Unit root tests in panel data: asymptotic and finite-sample properties. Journal of econometrics, 108(1), 1-24.
- Long, J. C., FAN, X. J., & ZHANG, X. (2013). Changes in Interest Rate, Shadow Banking and SME Financing. In Finance Forum (Vol. 7).
- Lopreite, M. (2012). Securitisation and monetary transmission mechanism: evidence from italy (1999-2009).
- Lu, T., & Lau, W. Y. (2019). China's Shadow Banking: Dynamics of Policy and Economy. In Finance and Strategy Inside China (pp. 131-146). Springer, Singapore.
- Nelson, B. D., Pinter, G., ve Theodoridis, K. (2015). Do contractionary monetary policy shocks expand shadow banking? Bank of England Working Paper No. 521
- Pedroni, P. (2004). Panel cointegration: asymptotic and finite sample properties of pooled time series tests with an application to the PPP hypothesis. Econometric theory, 20(3), 597-625.
- Pozsar, Z., Adrian, T., Ashcraft, A. B., ve Boesky, H. (2010). Shadow banking. Staff Report no. 458
- Rogers, K. E. (1998). Nontraditional activities and the efficiency of US commercial banks. Journal of Banking ve Finance, 22(4), 467-482.
- Tatoğlu, F. Y. (2018). İleri panel veri analizi: Stata uygulamalı. Beta
- Xiao, K. (2016). How Does Monetary Policy Affect Shadow Bank Money.