Banking sector stability during process of euro adoption

Bu çalışmada, Çek Cumhuriyeti, Macaristan ve Polonya gibi en büyük üç yeni Avrupa Birliği üyesinin Euro’yu kabul etme sürecinde yaşadığı hızlı kredi genişlemesinin sebepleri incelenmiştir. Kredi dalgalanmalarının standart sapmasının ülkeye özgü trend değerinden 1.75 ve üzerinde aştığı durumlarda kredi genişlemesi balon olan tanımlanmış ve kredi balonları ile ilgili mevcut literatüre bağlı kalınarak trend değeri Hodrick-Prescott filtreleme yöntemi ile elde edilmiştir. Bunun yanı sıra, kredi genişlemesi ile ekonomik büyüme arasındaki nedensellik ilişkisinin yönünü araştırmak amacıyla, geleneksel Granger nedensellik testi kısıtsız vektör hata düzeltme yönetiminde uygulanmıştır.

Euro'nun kabul edilme sürecinde bankacılık sektöründe istikrar

In this paper, reasons of the rapid credit expansion in three biggest new European Union member states (i.e., Czech Republic, Hungary and Poland) are investigated during the process of Euro Adoption. Credit expansion is identified as a boom, if it exceeds the standard deviation of the country’s credit fluctuations around trend by a factor of 1.75. Following the literature on credit booms, the trend is estimated by using Hodrick-Prescot (HP) filter. Furthermore, to investigate the direction of the causal relationship between the credit expansion and economic growth, the traditional Granger causality test is applied in an vector error correction (VEC) context.

PDF

___

Alexander, C. (2001). Market Models: A Guide to Financial Data Analysis. John Wiley & Sons Ltd.
Allen, G. (2000). “Asset Price Bubbles and Monetary Policy”, Riskbank Conference on Asset Markets and Monetary Policy: 1-28.
Buffie, E. F. (1984). “Financial Repression, the New Structuralists, and Stabilization Policy in Semiindustrialized Economics”, Journal of Development Economics, 14, 305-22.
Brzoza-Brzezina, M. (2005). “Lending Booms in Europe’s Periphery: South-Western Lessons for Central-Eastern Members” ECB mimeo.
Charemza, W.W. and D. Deadman (1997). New Directions in Econometric Practice. 2nd Edition, Edward Elgar Publishing House, England.
Corsetti, G., P. Pesenti and N. Roubini, (1999). “Paper Tigers? A Model of the Asian Crisis,” European Economic Review, Vol: 43:1211-1236.
Demigruc-Kunt, A. and E. Detragiache (1998). “The Determinants of Banking Crises in Developed and Developing Countries”, IMF Staff Papers, Vol. 45: 81-109,
Engle, R. and Granger, C. W. J. (1987). “Cointegration and Error-correction: Representation, Estimation and Testing”, Econometrica (55): 251-276.
Gavin, M. and R. Hausmann (1996). “The Roots Of Banking Crises: The Macroeconomic Context”, Inter American Development Bank Working Paper 318 Washington D.C. June.
Goldsmith, R. (1969). Financial Structure and Development. New Haven, CT: Yale University Press.
Gourinchas, P.O., Valdes, R. and Landerretche, O. (2001). “Lending Booms: Latin America and the world”, NBER Working Paper 8249.
Granger, C.W.J. (1969). "Investigating Causal Relations by Econometric Models and Cross- Spectral Methods”, Econometrica, Vol:37:24-36.
Gurley, J. G. and Shaw, E. S. (1955). “Financial Aspects of Economic Development”, American Economic Review, 45(Sept): 515-538.
Granger, C. W. J. (1988). “Granger Causality, Cointegration, and Control”. Journal of Economic Dynamics and Control, 12: 551-59.
Holden, K. and Thompson, J. (1992). “Co-integration: An Introductory Survey”, British Review of Economic Issues, Vol: 14(33):.1-55.
Honohan, P. (1997). “Banking Systems Failures in Developing and Transition Countries: Diognasis and Prediction”, BIS Working Paper No:39.
Johansen, S. (1988). “Statistical Analysis of Cointegration Vectors”, Journal of Economic Dynamics and Control, Vol: 12: 231-254.
Johansen, S. and Jeselius, K. (1990). “Maximum Likelihood Estimation and Inference on Cointegration With Applications of the Demand For Money”, Oxford Bulletin of Economics and Statistics, May:169-210.
Kar M. and E.J. Pentecost (2000). “Financial Development and Economic Growth in Turkey: Further Evidence on the Causality Issue”, Loughborough University, Economic Research Paper No. 00/27.
Kindleberger, C. P. (1978). Manias, Panics, and Crashes. New York: Basic Books.
King, R. G and R. Levine (1993a). “Finance, Entrepreneurship, and Growth”, Journal of Monetary Economics, 32:513-42.
King, R. G and R. Levine (1993b). “Finance and Growth: Schumpeter Might Be Right”, Quarterly Journal of Economics, 108: 717-37.
Levine, R. (1997). “Financial Development and Economic Growth: Views and Agenda”, Journal of Economic Literature, Vol: 25: 688-726.
Levine, R. (2004). “Finance and Growth: Theory and Evidence”, NBER Working Paper Series, 10766.
Levine, R., N. Loayza and T. Beck (2000). “Financial Intermediation and Economic Growth: Causality and Causes”, Journal of Monetary Economics, Vol. 46: 31-77.
Levine, R. and Zervos, S., (1998). "Stock Markets, Banks and Economic Growth", American Economic Review, Vol: 8:537-558.
Lucas, R. E. (1988). “On the Mechanics of Economic Development”, Journal of Monetary Economics, 22:3-42.
Lütkepol, H., Saikkonen, P. And Trenkler, C. (2001). “Maximum Eigenvalue Versus Trace Tests for the Cointegrating Rank of a VAR Process”, Econometrics Journal , Vol 4:287–310.
McKinnon, R. I. (1973). "Money and Capital in Economic Development",Washington, DC, Brookings Institution.
MacKinnon, J.G. (1996). “Numerical Distribution Functions for Unit Root and Cointegration Tests”, Journal of Applied Econometrics, No: 11, 601-618. Banking Sector Stability During the Process of Euro Adoption 135
MacKinnon, J.G., Haug, A.A. and Michelis, L. (1999). “Numerical Distribution Functions of Likelihood Ratio Tests For Cointegration,” Journal of Applied Econometrics, Vol: 14: 563-577.
Manoj, K. and K. Manasvi (2007). “Does Financial Growth lead Economic Performance in India? Causality-Cointegration Using Unrestricted Vector Error Correction Models”, MPRA Paper No. 6154.
Odedokun, M. O. (1996). “Alternative Econometric Approaches for Analyzing the Role of the Financial Sector in Economic Growth: Time-Series Evidence from LDCs”, Journal of Development Economics, 50(1):119,135.
Patrick, H. T. (1966). “Financial Development and Economic Growth in Underdeveloped Countries”, Economic Development and Cultural Change, Vol:14:174-189.
Prescott, E. C. (1986). “Theory Ahead of Business Cycle Measurement”, Carnegie-Rochester Conference Series Public Policy, Vol.25, No:1.
Rajan, R. G. and Zingales, L., (1998). “Financial Dependence and Economic Growth”, American Economic Review, Vol. 88:559-586.
Schumpeter, J. A. (1911). The Theory of Economic Development. Cambridge, Mass: Harvard University Press.
Shaw, E. S. (1973). Financial Deepening in Economic Development. New York: Oxford University Press.
Terrones, M, and Mendoza, E. (2004). “Are Credit Booms in Emerging Markets a Concern?” in World Economic Outlook, IMF, Washington.
Trabelsi, M. (2002). “Finance and Growth : Empirical Evidence from Developing Countries, 1960- 1990” Center for Interuniversity Research in Quantitative Economics (CIREQ), No 13.
Tsuru, K (2000). “Finance and Growth: Some Theoretical Considerations, and a Review of the Empirical Literature”, Economics Department Working Papers, OECD, January, No.228
Yamamoto T. and E. Kurozumi (2002). Tests for Granger Non-Causality in Cointegrated Systems, Hitotsubashi University.
Valderrama, D. (2003). “Financial Development, Productivity and Economic Growth”, FRBSF Economic Letter, Vol: 2003-18
Van Wijnbergen, S. (1983). Credit policy, Inflation and growth in a financially repressed economy, Journal of Development Economics, 13: 45-65
World Bank (1989). World Development Report 1989. New York: Oxford University Press for the World Bank.