of  

or
Sign in to continue reading...

The Role of Credit Supply Channel in Transmission of Monetary Policy: An Empirical Investigation of Malaysian Banks on Basis of Size and Liquidity



Create FREE account or Login to add your comment
Comments (0)


Transcription

  1. G . & L. E. R., Vol. 23 No. 2, 2019  6\HG0XKDPPDG$EGXO5HKPDQ6KDK$EGXO5DVKLG  7+(52/(2)&5(',76833/<&+$11(/,175$160,66,212) 021(7$5<32/,&<$1(03,5,&$/,19(67,*$7,212) 0$/$<6,$1%$1.621%$6,62)6,=($1'/,48,',7< $EVWUDFW 7KHWUDQVPLVVLRQFKDQQHOVRIPRQHWDU\SROLF\UHSUHVHQWWKHSDWKWRDIIHFW WKHPDFURHFRQRPLFREMHFWLYHVRISROLF\$IWHUUHFHQWFULVLVWKHWUDQVPLVVLRQ PHFKDQLVPKDVUHFHQWO\UHFHLYHGLQFUHDVHGDWWHQWLRQHVSHFLDOO\ZLWKUHVSHFW WR WKH HIILFLHQF\ RI EDQNV¶ FUHGLW VXSSO\ FKDQQHO <HW ZH NQRZ OHVV DERXW WKH UHODWLYH UROH RI EDQNV¶ FUHGLW VXSSO\ FKDQQHO LQ PRQHWDU\ SROLF\ WUDQVPLVVLRQ PHFKDQLVP 7KLV VWXG\ WKHUHIRUH H[DPLQHV WKH LPSDFW RI PRQHWDU\ SROLF\ RQ WKH FUHGLW VXSSO\ RI EDQNV XVLQJ DQ XQEDODQFHG SDQHO GDWDVHWRYHUWKHSHULRGIRU0DOD\VLD7RPLWLJDWHWKHSUREOHPRI HQGRJHQHLW\ WKH UREXVW WZRVWHS V\VWHPJHQHUDOL]H PHWKRG RI PRPHQWV *00 HVWLPDWRULVDSSOLHG:KLOHHVWLPDWLQJWKUHHDOWHUQDWLYHPHDVXUHVRI PRQHWDU\ SROLF\ RQ EDQNV¶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
  2. The Role Of Credit Supply Channel In Transmission Of Monetary Policy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¶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
  3. Rehman Shah , S.M.A., Rashid, A. G. & L. E. R. Vol. 23 No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¶VFHQWULFYLHZRIPRQHWDU\SROLF\ .DVK\DE 6WHLQ  6KDUSH  +DVLQ  0DMLG   6HYHUDO VWXGLHV VXFK DV %HUQDQNH  %OLQGHU   *HUWOHU  *LOFKULVW   .DVK\DE  6WHLQ   DQG $LNPDQ HW DO   KDYH QRWHG WKH GLIIHUHQWLDO LPSDFW RI PRQHWDU\ SROLF\ RQ EDQNV¶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¶ FHQWULFYLHZ RI FUHGLW VXSSO\ FKDQQHO RI PRQHWDU\SROLF\WUDQVPLVVLRQPHFKDQLVPLQ0DOD\VLDE\FRPSDULQJWKHUROH RI EDQNV RQ EDVLV RI VL]H DQG OLTXLGLW\ 6SHFLILFDOO\ ZH H[DPLQH ZKHWKHU WLJKW PRQHWDU\ SROLF\ DIIHFWV PRUH WKH VPDOO DQG OHVVOLTXLG RU ODUJH DQG PRUHOLTXLGEDQNV¶FUHGLWVXSSO\ 7KH UHVW RI WKH SDSHU LV VWUXFWXUHG DV IROORZV 6HFWLRQ  UHYLHZV WKH 43
  4. The Role Of Credit Supply Channel In Transmission Of Monetary Policy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¶VL]HWKHOHYHO RI OLTXLGLW\ DQG EDQNV¶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
  5. Rehman Shah , S.M.A., Rashid, A. G. & L. E. R. Vol. 23 No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¶FUHGLWVXSSO\ DQG WKH\ KDYH YHULILHG WKH H[LVWHQFH RI WKH EDODQFH VKHHW FKDQQHO )XUWKHU ,SSROLWR HW DO   KDYH VKRZQ WKDW D TXDQWLWDWLYHO\ VLJQLILFDQW EDODQFH VKHHW FKDQQHO WUDQVPLVVLRQ FKDQQHO RI PRQHWDU\ SROLF\ LV IRXQG IRU WKH ILUP¶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¶FHQWULFYLHZRIPRQHWDU\SROLF\LQEDVHOLQHPRGHO6LPLODUO\ZH KDYHH[WHQGHGWKHEDVHOLQHPRGHOWRLQYHVWLJDWHWKHUROHRIVL]HDQGOLTXLGLW\ SRVLWLRQRIDQ\EDQNWKURXJKWKHLUUHVSRQVHVWRPRQHWDU\WLJKWHQLQJ 45
  6. The Role Of Credit Supply Channel In Transmission Of Monetary Policy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୧୲ ൌ Ⱦ୧ ൅  ୧୲ Ƚ ൅ ୲ Ʌ ൅ ɏ୲ ൅ Ɋ୲ ൅ ɂ୧୲ ሺͳሻ  ୧୲  EDQNV¶FUHGLWVXSSO\ Ⱦ୧  LQGLYLGXDOVSHFLILFHIIHFW Ɋ୲  \HDUVSHFLILFHIIHFW ɂ୧୲  HUURUWHUP  ୧୲  DVHWRIEDQNVSHFLILFYDULDEOHV ୲  DVHWRIPDFURHFRQRPLFYDULDEOHV ୲  PRQHWDU\SROLF\LQGLFDWRU  )XUWKHUWKHEDVHOLQHPRGHO  LVH[WHQGHGWKURXJKDGGLQJWKHVPDOOVL]HG EDQNV GXPP\ DQG ODUJHVL]HG EDQNV GXPP\ LQWR WKH VSHFLILFDWLRQ 6SHFLILFDOO\ ZH LQWHUDFW WKH ERWK GXPPLHV ZLWK WKH PRQHWDU\ SROLF\ LQGLFDWRUVWRH[DPLQHWKHGLIIHUHQWLDOUHVSRQVHRIEDQNVDFURVVWKHLUVL]HRQ WKHEDVLVRIWKHLUDVVHWVLQ(T    ୪ୟ୰୥ୣ ൅ ɏଶ ୲ ൈ ୧ ൅ Ɋ୲ ൅ ɂ୧୲ ሺʹሻ ୧୲ ൌ Ⱦ୧ ൅  ୧୲ Ƚ ൅ ୲ Ʌ ൅ ɏଵ ୲ ൈ ୱ୫ୟ୪୪ ୧  6LPLODUO\ WKH EDVHOLQH PRGHO   LV H[WHQGHG WKURXJK DGGLQJ WKH OHVV OLTXLG EDQNV GXPP\ DQG WKH PRUHOLTXLG EDQNV GXPP\ LQWR WKH VSHFLILFDWLRQ6SHFLILFDOO\ZHLQWHUDFWWKHERWKGXPPLHVZLWKWKHPRQHWDU\ SROLF\ LQGLFDWRUV WR H[DPLQH WKH GLIIHUHQWLDO UHVSRQVH RI EDQNV DFURVV WKHLU VWRFNRIOLTXLGLW\LQ(T   46
  7. Rehman Shah , S.M.A., Rashid, A. G. & L. E. R. Vol. 23 No. 2 (2019)  ୑୐ ൅ Ɋ୲ ൅ ɂ୧୲ ሺ͵ሻ ୧୲ ൌ Ⱦ୧ ൅  ୧୲ Ƚ ൅ ୲ Ʌ ൅ ɏଵ ୲ ൈ ୐୐ ୧ ൅ ɏଶ ୲ ൈ ୧  :HKDYHVHOHFWHGWKHEDQNVSHFLILFWKHPDFURHFRQRPLFDQGWKHPRQHWDU\ SROLF\YDULDEOHVWRH[DPLQHWKHH[LVWHQFHRIEDQNV¶FUHGLWYLHZRIPRQHWDU\ SROLF\DQGWKHGLIIHUHQWLDOLPSDFWRIPRQHWDU\SROLF\RQEDQNV¶FUHGLWVXSSO\ RQ WKH EDVLV RI VL]H DQG OLTXLGLW\ VWRFN 7KH UDWLRQDOH RI VHOHFWLRQ RI WKHVH VSHFLILF YDULDEOHV LV GLVFXVVHG LQ GHWDLO )LUVW ZH EHJLQ ZLWK WKHGHSHQGHQW YDULDEOH WKDW LV EDQNV¶ FUHGLW VXSSO\ 7KLV VWXG\ LQWHQGV WR LQYHVWLJDWH WKH HIIHFWVRIPRQHWDU\SROLF\LQGLFDWRUVRQFUHGLWVXSSO\GHFLVLRQRIEDQNV$V FUHGLWVXSSO\RIEDQNVGHFUHDVHVGXHWRDQLQFUHDVHLQSROLF\LQWHUHVWUDWHLW HPSOR\VWKHH[LVWHQFHRIEDQNV¶FHQWULFYLHZRIFUHGLWVXSSO\FKDQQHO $OSHU HW DO  6XNPDQD  .DVLP   7KH EDQNVSHFLILF LQGHSHQGHQW YDULDEOHV DUH WKHUH GHVFULEHG LQ 7DEOH  ,Q OLQH ZLWK .DVK\DE  6WHLQ  WKHOHQGLQJLQWHUHVWUDWHWKHGHSRVLWLQWHUHVWUDWHDQGWKHLQWHUHVWUDWH VSUHDGWKUHHLQWHUHVWUDWHVDUHVHOHFWHGDVPHDVXUHVRIPRQHWDU\SROLF\´  9DULDEOHV %DQNFUHGLW VXSSO\ %DQNVL]H /LTXLGLW\ &DSLWDO &RYHUDJHUDWLR &UHGLWULVN 3URILWDELOLW\ 'HEWWRHTXLW\ UDWLR 7DEOH%DQNVSHFLILFYDULDEOHV 'HVFULSWLRQ 5DWLRRI*URVV/RDQVWR7RWDO$VVHWV /RJRI7RWDO$VVHWV &DVKDQGFDVKHTXLYDOHQWGLYLGHGE\WRWDODVVHWV 7RWDO6KDUHKROGHU(TXLW\WRWDODVVHWV   (%,7,QWHUHVW([SDQVH   5DWLRRIFODVVLILHGORDQVWRWRWDOORDQV 3URILWDIWHU7D[7RWDO$VVHWV   'HEW(TXLW\5DWLR 6RXUFH$XWKRUV¶HODERUDWLRQ :H XVH WKH UREXVW WZRVWHS V\VWHPWKH *HQHUDOL]H 0HWKRG RI 0RPHQWV *00  HVWLPDWRU )XUWKHU WKH -WHVW RI +DQVHQ   LV HPSOR\HG WR REVHUYHWKHQXOOK\SRWKHVLVIRUWKHLQVWUXPHQWVZKLFKDUHRUWKRJRQDOWRWKH UHVLGXDOV7KLVLVFRQGXFWHGIRUWKHYDOLGLW\RIWKHLQVWUXPHQWV (PSLULFDOILQGLQJ 4.1. Findings of the baseline model 47
  8. The Role Of Credit Supply Channel In Transmission Of Monetary Policy ... 7KH UHVXOWV RI WKH EDVHOLQH PRGHO DUH SUHVHQWHG LQ 7DEOH  3DQHO $ DQG 3DQHO % SUHVHQW WKH HPSLULFDO UHVXOWV RI YDULDEOHV DQG GLDJQRVWLF WHVWV UHVSHFWLYHO\,QWKH3DQHO$RI7DEOHWKHPRQHWDU\SROLF\LQGLFDWRUVWKH OHQGLQJ LQWHUHVW WKH LQWHUHVW UDWHVSUHDG DQG WKH GHSRVLW UDWH LQGLFDWH WKH QHJDWLYHDQGVWDWLVWLFDOO\VLJQLILFDQWFRHIILFLHQWVWKDWVXSSRUWWKHSUHVHQFHRI EDQNV¶ FHQWULFYLHZ RI PRQHWDU\ SROLF\ $OWKRXJK ZH UHJUHVV WKH FUHGLW VXSSO\ RI EDQNV RQ WKH OHQGLQJ LQWHUHVW WKH LQWHUHVW UDWH VSUHDG DQG WKH GHSRVLWUDWHVHSDUDWHO\LQGLIIHUHQWWKUHHUHJUHVVLRQV  7DEOH,PSDFWRIPRQHWDU\SROLF\LQGLFDWRUVRQEDQNV¶FUHGLWVXSSO\  9DULDEOHV 'HEW5DWLR W  %DQNVVL]H %DQNV /LTXLGLW\ %DQNV &DSLWDO &RYHUDJH UDWLR &UHGLWULVN %DQNV 3URILWDELOLW\ 'HEWWR HTXLW\UDWLR /HQGLQJUDWH ,QWHUHVWUDWH VSUHDG 'HSRVLWUDWH *'3*URZWK ,QIODWLRQ &RQVWDQWV 2EVHUYDWLRQV %DQNV 48 3DQHO$(VWLPDWLRQ5HVXOWV 0RGHO $  0RGHO %  6WG 6WG &RHIILFLHQW &RHIILFLHQW (UURU (UURU 0RGHO &  6WG &RHIILFLHQW (UURU                                                                                                                     3DQHO%'LDJQRVWLF7HVWV      
  9. Rehman Shah , S.M.A., Rashid, A. G. & L. E. R. Vol. 23 No. 2 (2019) $5      SYDOXH    -VWDWLVWLF    SYDOXH    1RWHV7KH-VWDWLVWLFVLVDWHVWRIWKHRYHULGHQWLI\LQJUHVWULFWLRQVDQGGLVWULEXWHGDVFKLVTXDUHGXQGHU WKHQXOORILQVWUXPHQWYDOLGLW\DQG$5  $UHOODQR%RQGLVWKHWHVWRIVHFRQGRUGHUDXWRFRUUHODWLRQLQ WKHILUVWGLIIHUHQFHGUHVLGXDOV S S S  7KH HPSLULFDO UHVXOWV DUH FRQVLVWHQW ZLWK WKH EDQN¶V FHQWULF YLHZ RI PRQHWDU\ SROLF\ .DVK\DE  6WHLQ   6LPLODUO\ WKHVH UHVXOWV DUH LQ DFFRUGDQFH ZLWK H[LVWLQJ OLWHUDWXUH VXFK DV 6KDUSH   +DVLQ  0DMLG  DQG-DQMXDHWDO  ,Q0RGHO$RI7DEOHWKHUHVXOWVVXJJHVW WKDWEDQNV¶FUHGLWVXSSO\LVSRVLWLYHO\DQGVLJQLILFDQWO\UHODWHGWRRQHSHULRG ODJJHGFUHGLWVXSSO\ 7KLVLPSOLHVWKDWWKRVHEDQNVKROGPRUHFUHGLWVXSSO\ GHEW UDWLR  SUHYLRXVO\ FRQWLQXH WR VXSSO\ PRUH FUHGLW ,QVSHFWLQJ WKH FRHIILFLHQWV RI EDQNV¶ VL]H ZH ILQG WKDW EDQNV¶ FUHGLW VXSSO\ LQFUHDVH VLJQLILFDQWO\ ZLWK DQ LQFUHDVH LQ VL]H 7KLV UHVXOW LV DOVR FRQVLVWHQW ZLWK SUHYLRXV HPSLULFDO VWXGLHV WKDW KDYH UHSRUWHG WKH SRVLWLYH UHODWLRQVKLS EHWZHHQEDQNVL]HDQGWKHFUHGLWVXSSO\RIEDQNV $OSHUHWDO.|KOHU HWDODQG6FKPLW] +RZHYHURQHVKRXOGQRWHWKDWWKLVUHVXOWLV FRQWUDU\WR3UXWHDQX  DQG-DQMXDHWDO  ZKRKDYHFRPHZLWK QHJDWLYHDVVRFLDWLRQEHWZHHQEDQNVL]HDQGFUHGLWVXSSO\7KHFRHIILFLHQWRI EDQNV¶ OLTXLGLW\ LV QHJDWLYH DQG VWDWLVWLFDOO\ LQVLJQLILFDQW VXJJHVWLQJ WKDW OLTXLGLW\DIIHFWVQHJDWLYHO\WKHFUHGLWVXSSO\RIEDQNV6LPLODUO\$OSHUHWDO  DQG.|KOHUHWDO  KDYHIRXQGWKHQHJDWLYHHIIHFWRIOLTXLGLW\ RQEDQNV¶ORDQVXSSO\EXWVLJQLILFDQW,WPHDQVWKHUHLVVKRUWDJHRIOLTXLGLW\ VWRFN WR DEVRUE PRQHWDU\ SROLF\ VKRFNV $OWKRXJK 6FKPLW]   DQG +DVLQ0DMLG  KDYHLQGLFDWHGDSRVLWLYHDQGVLJQLILFDQWUHODWLRQVKLS RI EDQNV¶ OLTXLGLW\ DQG ORDQ JURZWK LPSO\LQJ WKDW OLTXLG EDQNV DGMXVW WKH WLJKWHQLQJRIPRQHWDU\SROLF\ %DQNV¶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
  10. The Role Of Credit Supply Channel In Transmission Of Monetary Policy ... 1LNPDZDWL   DQG $ODUR  +DNHHP   KDYH GRFXPHQWHG WKH SRVLWLYHUHODWLRQVKLSEHWZHHQFRYHUDJHUDWLRDQGEDQNV¶FUHGLWVXSSO\&UHGLW ULVNDSSHDUVWREHQHJDWLYHO\UHODWHGWREDQNV¶FUHGLWVXSSO\VXJJHVWLQJWKDW ZKHQ WKH FUHGLW ULVN RI D EDQN LQFUHDVHV WKH EDQN EHFRPH FRQVFLRXV LQ LVVXLQJORDQV7KLVILQGLQJLVFRQVLVWHQWZLWKWKHILQGLQJVRI3UXWHDQX   ZKRKDVH[SODLQHGWKDWWKHFODVVLILHGORDQVEHFRPHDEDVLFVRXUFHWRLQFUHDVH FUHGLW ULVN EHFDXVH LW LV GHILQHG DV UDWLR RI FODVVLILHG ORDQV WR WRWDO ORDQV %DQNV¶SURILWDELOLW\LVSRVLWLYHO\DQGVLJQLILFDQWO\DVVRFLDWHGWREDQNV¶FUHGLW VXSSO\ GHFLVLRQ 7KH GHEW WR HTXLW\ UDWLR DSSHDUV WR DIIHFW FUHGLW VXSSO\ QHJDWLYHO\DQGVLJQLILFDQWO\LQGLFDWLQJWKDWDVWKHGHEWWRHTXLW\UDWLRJURZV WKH EDQNV FXW WKHLU FUHGLW WR PDUNHW EHFDXVH WKH EDQNV DUH QRW FDSDEOH WR LVVXHPRUHFUHGLW 7KH*'3JURZWKLVIRXQGSRVLWLYHDQGVLJQLILFDQWLQDOOWKUHHUHJUHVVLRQV VXJJHVWLQJWKDWDQLQFUHDVHLQ*'3JURZWKZLOOOHDGWRDQLQFUHDVHRIFUHGLW JURZWKLQEDQNV%HFDXVHWKHUHLVVXEVWDQWLDOUHZDUGWRVXSSO\WKHIXQGVLQD JURZLQJHFRQRP\,QIODWLRQLVDOVRIRXQGSRVLWLYHO\DQGVLJQLILFDQWO\UHODWHG WRFUHGLWJURZWKRIEDQNVLQOLQHZLWKH[LVWLQJOLWHUDWXUH ,Q 0RGHO E RI 7DEOH  DQG 0RGHO F RI 7DEOH  ZH UHJUHVV WKH EDQNV FUHGLW VXSSO\ RQ EDQN VSHFLILF FKDUDFWHULVWLFV ZLWK WKH LQWHUHVW UDWH VSUHDG DQG WKH GHSRVLW UDWH UHVSHFWLYHO\ DV PRQHWDU\ SROLF\ LQGLFDWRU DQG ZLWK PDFURHFRQRPLF LQGLFDWRUV $OO WKH EDQN VSHFLILF DQG PDFURHFRQRPLF YDULDEOHVDUHFRQVLVWHQWZLWKWKHUHVXOWVRISUHYLRXV0RGHODRI7DEOH7KH LQWHUHVWUDWHVSUHDGDQGWKHGHSRVLWUDWHQHJDWLYHO\DQGVLJQLILFDQWO\UHODWHG WR WKH EDQNV¶ FUHGLW VXSSO\ WHVWLI\LQJ WKH EDQNV¶ FHQWULFYLHZ RI PRQHWDU\ SROLF\ ,QWKH3DQHO%RI7DEOHWKHGLDJQRVWLFWHVWVUHYHDOWKDWRXULQVWUXPHQWV DUHUREXVW(VSHFLDOO\WKHHVWLPDWHVRI-WHVWGRQRWSURYLGHDQ\VLJQLILFDQW HYLGHQFHLQIDYRURIUHMHFWLQJWKHQXOOK\SRWKHVLV6LPLODUO\ZHGRQRWILQG DQ\VLJQLILFDQWHYLGHQFHRIWKHH[LVWHQFHRIDXWRFRUUHODWLRQLQWKHUHVLGXDOV 2YHUDOOWKHVHGLDJQRVWLFWHVWVSURYHWKHYDOLGLW\RIWKHLQVWUXPHQWV 4.2. Impact of monetary policy on banks on basis of size 7KHEDVHOLQHPRGHO  LVH[WHQGHGDIWHUFDWHJRUL]LQJEDQNVRQEDVLVRI VL]H7KHUHDUHLQFOXGHGWZRGXPPLHVDVPDOOEDQNLQJGXPP\DQGDODUJH EDQNLQJGXPP\LQEDVHOLQHPRGHOWRREVHUYHWKHLPSDFWRIPRQHWDU\SROLF\ LQGLFDWRUVRQEDQNV¶FUHGLWVXSSO\RQEDVLVRIVL]H,Q7DEOHZHUHJUHVVWKH H[WHQGHGPRGHORIVPDOOYHUVXVODUJHEDQNV¶FUHGLWVXSSO\RQEDQNVSHFLILF YDULDEOHV PDFURHFRQRPLF FRQGLWLRQV DQG PRQHWDU\ SROLF\ LQGLFDWRUV 7KH 3DQHO $ SUHVHQW WKH HVWLPDWLRQ UHVXOWV RI WKH EDQNVSHFLILF WKH 50
  11. Rehman Shah , S.M.A., Rashid, A. G. & L. E. R. Vol. 23 No. 2 (2019) PDFURHFRQRPLF YDULDEOHV DQG PRQHWDU\ SROLF\ LQGLFDWRUV LQ WKUHH UHJUHVVLRQV$OPRVWWKHVHUHVXOWVDUHVLPLODUWRWKHUHVXOWVSUHVHQWHGLQ7DEOH  )XUWKHU WKH FRHIILFLHQW YDOXH RI WKH FUHGLW VXSSO\ VXJJHVWV WKDW EDQNV¶ FUHGLW VXSSO\ LV SRVLWLYHO\ DQG VLJQLILFDQWO\ UHODWHG WR RQHSHULRG ODJJHG FUHGLW VXSSO\ LQ 7DEOH  7KLV LPSOLHV WKDW WKRVH EDQNV KROG PRUH FUHGLW VXSSO\ SUHYLRXVO\ ZRXOG VXSSO\ PRUH FUHGLW WR HFRQRP\ 7KH EDQNV¶ VL]H WKHEDQNV¶FDSLWDOWKHFRYHUDJHUDWLRWKHEDQNV¶SURILWDELOLW\DQGWKHGHEWWR HTXLW\UDWLRDUHSRVLWLYHO\DQGVLJQLILFDQWO\UHODWHGWRFUHGLWJURZWKRIEDQNV 7KH FRHIILFLHQW RI EDQNV¶ OLTXLGLW\ DQG WKH FUHGLW ULVN LV QHJDWLYH DQG VLJQLILFDQWWREDQNV¶FUHGLWVXSSO\2QO\FRYHUDJHUDWLRFKDQJHVLWVVLJQIURP QHJDWLYHWRSRVLWLYHZKHQLWLVUHJUHVVHGZLWKWKHOHQGLQJUDWH  7DEOH,PSDFWRIPRQHWDU\SROLF\RQEDQNVRQEDVLVRIVL]H   9DULDEOHV 'HEW5DWLR W  %DQNVVL]H %DQNV/LTXLGLW\ %DQNV&DSLWDO &RYHUDJHUDWLR &UHGLWULVN %DQNV3URILWDELOLW\ 'HEWHTXLW\UDWLR 3DQHO$(VWLPDWLRQ5HVXOWV 0RGHO $  0RGHO %  &RHIILFLHQW 6WG (UURU &RHIILFLHQW 6WG (UURU 0RGHO &  &RHIILFLHQW 6WG (UURU                                                                      /HQGLQJUDWH       î‫ ܦ‬ௌ௠௔௟௟ ௕௔௡௞௦  /HQGLQJUDWH       î‫ ܦ‬௅௔௥௚௘ ௕௔௡௞௦  ,QWHUHVWUDWH       VSUHDGî‫ ܦ‬ௌ௠௔௟௟௕௔௡௞௦  ,QWHUHVWUDWH       VSUHDGî‫ ܦ‬௅௔௥௚௘௕௔௡௞௦            51
  12. The Role Of Credit Supply Channel In Transmission Of Monetary Policy ... 'HSRVLWUDWH î‫ ܦ‬ௌ௠௔௟௟ ௕௔௡௞௦  'HSRVLWUDWH î‫ ܦ‬௅௔௥௚௘ ௕௔௡௞௦                *'3*URZWK      ,QIODWLRQ          &RQVWDQWV              3DQHO%'LDJQRVWLF7HVWV 2EVHUYDWLRQV    %DQNV    $5      p-YDOXH    JVWDWLVWLF    p-YDOXH    S S S  2YHUDOODOOWKUHHPRQHWDU\SROLF\LQGLFDWRUVDUHDVVRFLDWHGQHJDWLYHO\DQG VWDWLVWLFDOO\ VLJQLILFDQW ZLWK WKH FUHGLW VXSSO\ RI EDQNV WKDW VXSSRUW WKH SUHVHQFHRIEDQNV¶FHQWULFYLHZRIPRQHWDU\SROLF\LQDOOWKUHHUHJUHVVLRQV $OWKRXJK ZH KDYH UHJUHVVHG WKH FUHGLW VXSSO\ RI EDQNV RQ WKH OHQGLQJ LQWHUHVW WKH LQWHUHVW UDWH VSUHDG DQG WKH GHSRVLW UDWH VHSDUDWHO\ LQ GLIIHUHQW WKUHHPRGHOV,WLVQRWDEOHWKDWVPDOOEDQNVDUHPRUHUHVSRQVLYHWRWLJKWHQLQJ PRQHWDU\SROLF\LQDOOWKUHHPRGHOV$OSHUHWDO  KDYHFRQFOXGHGWKDW WKH QHJDWLYH FRHIILFLHQW VXJJHVWV WKDW VPDOO EDQNV OHQG PRUH XQGHU WLJKW PRQHWDU\ SROLF\ 7KHVH HPSLULFDO UHVXOWV DUH FRQVLVWHQW ZLWK WKH EDQNV¶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¶ FUHGLW VXSSO\ DFURVV VPDOO DQG ODUJH EDQNV 52
  13. Rehman Shah , S.M.A., Rashid, A. G. & L. E. R. Vol. 23 No. 2 (2019) 7KH *'3 JURZWK DQG LQIODWLRQ DUH IRXQG SRVLWLYH DQG VWDWLVWLFDOO\ VLJQLILFDQWLQDOOWKUHHUHJUHVVLRQVLQOLQHZLWK7DEOH,Q7DEOHWKH3DQHO % WKH GLDJQRVWLF WHVWV UHYHDO WKDW RXU LQVWUXPHQWV DUH UREXVW 2YHUDOO WKH GLDJQRVWLFWHVWVSURYHWKHYDOLGLW\RIWKHLQVWUXPHQWV 4.3. Impact of Monetary Policy on Banks on basis of Liquidity 7KHEDVHOLQHPRGHO  LVH[WHQGHGDIWHUFDWHJRUL]LQJWKHEDQNVRQEDVLV RI WKHLU OLTXLGLW\ 7KHUH DUH LQFOXGHG WZR GXPPLHV D OHVV OLTXLG EDQNLQJ GXPP\DQGDPRUHOLTXLGEDQNLQJGXPP\LQEDVHOLQHPRGHOWRREVHUYHWKH UHVSRQVHV RI EDQNV FUHGLW VXSSO\ WR PRQHWDU\ SROLF\ PHDVXUHV RQ EDVLV RI OLTXLGLW\ ,Q 7DEOH  ZH UHJUHVV WKH H[WHQGHG PRGHO RI OHVV OLTXLG YHUVXV PRUHOLTXLGEDQNV¶FUHGLWVXSSO\RQEDQNVSHFLILFYDULDEOHVPDFURHFRQRPLF FRQGLWLRQVDQGPRQHWDU\SROLF\LQGLFDWRUV ,QWKH3DQHO$RI7DEOHLWLVQRWDEOHWKDWOHVVOLTXLGEDQNVDUHDIIHFWHG PRUHDVFRPSDUHGWRPRUHOLTXLGEDQNVWRWLJKWHQLQJPRQHWDU\SROLF\LQDOO WKUHH UHJUHVVLRQV 7KLV HYLGHQFH LV LQ OLQH ZLWK WKH ILQGLQJV RI .DVK\DE  6WHLQ   6FKPLW]   .|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¶ FUHGLW VXSSO\ VXJJHVWLQJ WKDW EDQN ZLWK KLJK FRYHUDJHUDWLRLQWKHLUFDVKIORZVWUHDPVLQFUHDVHWKHLUVXSSO\RIFUHGLW ,Q 7DEOH  WKH *'3 JURZWK DQG LQIODWLRQ DUH IRXQG SRVLWLYH DQG VWDWLVWLFDOO\VLJQLILFDQWLQDOOWKUHHUHJUHVVLRQVLQOLQHZLWK7DEOH,Q7DEOH  WKH 3DQHO % WKH GLDJQRVWLF WHVWV UHYHDO WKDW RXU LQVWUXPHQWV DUH UREXVW 2YHUDOOWKHGLDJQRVWLFWHVWVSURYHWKHYDOLGLW\RIWKHLQVWUXPHQWV    53
  14. The Role Of Credit Supply Channel In Transmission Of Monetary Policy ... 7DEOH,PSDFWRIPRQHWDU\SROLF\RQEDQNVRQEDVLVRIOLTXLGLW\   5HJUHVVRUV 3DQHO$(VWLPDWLRQ5HVXOWV 0RGHO $  0RGHO %  0RGHO &  6WG 6WG 6WG &RHIILFLHQW &RHIILFLHQW &RHIILFLHQW (UURU (UURU (UURU 'HEW5DWLR W           %DQNVVL]H          %DQNV/LTXLGLW\          %DQNV&DSLWDO          &RYHUDJHUDWLR       &UHGLWULVN          %DQNV3URILWDELOLW\         'HEWHTXLW\UDWLR       /HQGLQJUDWH        î‫ ܦ‬௅௘௦௦௅௜௤௨௜ௗ  /HQGLQJUDWH        î‫ ܦ‬ெ௢௥௘௅௜௤௨௜ௗ  ,QWHUHVWUDWH        VSUHDGî‫ ܦ‬௅௘௦௦ ௅௜௤௨௜ௗ  ,QWHUHVWUDWH        VSUHDGî‫ ܦ‬ெ௢௥௘௅௜௤௨௜ௗ  'HSRVLWUDWH        ಽ೐ೞೞಽ೔೜ೠ೔೏  î‫ ܦ‬஽ 'HSRVLWUDWH        î‫ ܦ‬ெ௢௥௘௅௜௤௨௜ௗ  *'3*URZWK          ,QIODWLRQ          &RQVWDQWV          3DQHO%'LDJQRVWLF7HVWV 2EVHUYDWLRQV 54   
  15. Rehman Shah , S.M.A., Rashid, A. G. & L. E. R. Vol. 23 No. 2 (2019) %DQNV    $5      p-YDOXH    JVWDWLVWLF    p-YDOXH    S S S  &RQFOXVLRQVDQGSROLF\LPSOLFDWLRQV 7KH EDQN¶V FHQWULFYLHZ RI PRQHWDU\ SROLF\ KDV UHFHLYHG DQ LQFUHDVHG DWWHQWLRQ E\ UHVHDUFKHUV DQG SUDFWLWLRQHUV DIWHU WKH ILQDQFLDO FULVLV LQ ODVW GHFDGH,QWKLVSDSHUZHKDYHH[DPLQHGWKHH[LVWLQJRIEDQNV¶FHQWULFYLHZ RI PRQHWDU\ SROLF\ DQG WKH LPSDFW RI PRQHWDU\ SROLF\ RQ FUHGLW VXSSO\ RI VPDOO YHUVXV ODUJH EDQNV DQG OHVVOLTXLG YHUVXV PRUHOLTXLG EDQNV LQ WKH WUDQVPLVVLRQPHFKDQLVPRIPRQHWDU\SROLF\IRU0DOD\VLDZKLFKLVWKHFRUH WKHPH RI WKLV VWXG\ ,Q HPSLULFDO PRGHOV WKUHH DOWHUQDWLYH PHDVXUHV RI PRQHWDU\SROLF\DUHUHJUHVVHGRQEDQNV¶FUHGLWVXSSO\VHYHUDOEDQNVSHFLILF YDULDEOHVDQGPDFURHFRQRPLFLQGLFDWRUVDVFRQWUROYDULDEOHV(VWLPDWLQJWKH EDVHOLQH PRGHO ZH SURYLGH WKH VWURQJ HYLGHQFH RQ WKH H[LVWHQFH RI EDQNV¶ FHQWULFYLHZ RI PRQHWDU\ SROLF\ 7KH UHVXOWV IURP WKH H[WHQGHG PRGHO LQGLFDWHWKDWODUJHDQGPRUHOLTXLGEDQNVUHVSRQGOHVVWRPRQHWDU\SROLF\DV FRPSDUHGWRWKHVPDOOVL]HGDQGOHVVOLTXLGFRXQWHUSDUWV7KHUHODWLYHO\OHVV UHVSRQVH RI ODUJH DQG PRUHOLTXLG EDQNV WR PRQHWDU\ SROLF\ PD\ PDNH LW GLIILFXOW IRU WKH FHQWUDO EDQN WR DFKLHYH WKH GHVLUHG REMHFWLYHV RI WKH PRQHWDU\SROLF\ :H FDQ VXJJHVW VHYHUDO SROLF\ LPSOLFDWLRQV IRU PRQHWDU\ SROLF\ DXWKRULWLHV)LUVWVLQFHEDQNV¶FHQWULFYLHZSOD\VDNH\UROHLQWUDQVPLVVLRQ RIPRQHWDU\SROLF\WKHFHQWUDOEDQNVKRXOGPDQDJHLQWHUHVWUDWHWRVWDELOL]H WKH FUHGLW VXSSO\ WKURXJK EDQNV 6HFRQG RXU ILQGLQJV VXJJHVW WKDW IRU DQ HIIHFWLYH PRQHWDU\ SROLF\ WKHUH LV D YLWDO QHHG WR FRQVLGHU WKH VL]H DQG OLTXLGLW\ VWRFN RI EDQNV ZKLOH GHYLVLQJ WKH LQVWUXPHQWV WR PDQDJH FUHGLW VXSSO\ LQ WKH HFRQRP\ RWKHUZLVH WKHUH PD\ DSSHDU SX]]OHV WR PRQHWDU\ SROLF\ 7KLUG WKH SROLF\ PDNHUV VKRXOG NHHS LQ SUHIHUHQFH WKH PLFURHFRQRPLF DVSHFWV RI EDQNV¶ FUHGLW VXSSO\ EHKDYLRU LQ IRUPXODWLQJ PRQHWDU\ SROLF\ EHFDXVH ZH KDYH IRXQG WKH VPDOOVL]HG DQG OHVVOLTXLG EDQNV DUH DIIHFWHG PRUH DV FRPSDUHG WR WKHLU FRXQWHU SDUWV LQ 0DOD\VLD 55
  16. The Role Of Credit Supply Channel In Transmission Of Monetary Policy ... 2WKHUZLVH ODFN RI DGHTXDWH PRQHWDU\ LQVWUXPHQWV ZLOO OHDG WR KLJK LQWHUPHGLDWLRQ FRVW DQG SHUVLVWHQW LQIODWLRQDU\ SUHVVXUHV )RXUWK KLV VWXG\ VXJJHVWV WKDW WKH PRQHWDU\ SROLF\ DXWKRULWLHV VKRXOG FRQVLGHU GLIIHUHQW DOWHUQDWH FKDQQHOV ZLWK DGGLWLRQDO VSHFLILFDWLRQV WKURXJK ZKLFK WKH\ FDQ FRQGXFWDQHIIHFWLYHPRQHWDU\SROLF\LQ0DOD\VLD  5HIHUHQFHV $LNPDQ ' /HKQHUW $ /LDQJ 1 0RGXJQR 0   Credit, Financial Conditions, and Monetary Policy Transmission +XWFKLQV &HQWUH :RUNLQJ3DSHU1R $ODUR $5 +DNHHP 0   Financial Engineering and Financial Stability: The Role of Islamic Financial System -RXUQDO RI ,VODPLF (FRQRPLFV%DQNLQJDQG)LQDQFH   $OSHU . +XODJX 7 .HOHV *  An empirical study on liquidity and bank lending&HQWUDO%DQNRIWKH5HSXEOLFRI7XUNH\:RUNLQJ3DSHU 1R $QZDU 6 1JX\HQG /3   Channels of monetary policy transmission in Vietnam-RXUQDORI3ROLF\0RGHOOLQJ   $VKFUDIW$%&DPSHOOR0  Firm balance sheets and monetary policy transmission-RXUQDORI0RQHWDU\(FRQRPLFV   $XFOHUW $   Monetary Policy and The Redistribution Channel 1%(5 :RUNLQJ 3DSHU 6HULHV :RUNLQJ 3DSHU  &DPEULGJH 0$  $\VXQ8+HSS5  Identifying the balance sheet and the lending channels of monetary transmission: A loan-level analysis -RXUQDO RI %DQNLQJ)LQDQFH %HUQDQNH %6 /RZQ &6 )ULHGPDQ %0   The credit crunch Brookings papers on economic activity %HUQDQNH %6 %OLQGHU $6   Inside the Black Box: The Credit Channel of Monetary Policy Transmission -RXUQDO RI (FRQRPLF 3HUVSHFWLYHV   %HUQDQNH %6 *HUWOHU 0 *LOFKULVW 6   The Financial Accelerator in a Quantitative Business Cycle Framework +DQGERRN RI 0DFURHFRQRPLFV(OVHYLHU$PVWHUGDP &HFFKHWWL 6*   Legal Structure, Financial Structure, and the Monetary Policy Transmission Mechanism 1%(5 :RUNLQJ 3DSHU 1R :  56
  17. Rehman Shah , S.M.A., Rashid, A. G. & L. E. R. Vol. 23 No. 2 (2019) &LFFDUHOOL00DGGDORQL$3H\GUR-/  Trusting the Bankers: A New Look at the Credit Channel of Monetary Policy5HYLHZRI(FRQRPLF '\QDPLFV   (UGRJGX $   Functioning and Effectiveness of Monetary Transmission Mechanisms: Turkey Applications -RXUQDO RI )LQDQFH DQG %DQN 0DQDJHPHQW $PHULFDQ 5HVHDUFK ,QVWLWXWH IRU 3ROLF\ 'HYHORSPHQW    (YDQV & )LVKHU - *RXULR ) .UDQ6  Risk Management for Monetary Policy Near the Zero Lower Bound %URRNLQJV 3DSHUV RQ (FRQRPLF$FWLYLW\ *HUWOHU0*LOFKULVW6  The role of credit market imperfections in the monetary transmission mechanism: Arguments and evidence 7KH 6FDQGLQDYLDQ-RXUQDORI(FRQRPLFV  ± *LUDUGLQ(0RXVVD=  Quantitative easing works: Lessons from the unique experience in Japan 2001–2006 -RXUQDO RI ,QWHUQDWLRQDO )LQDQFLDO0DUNHWV,QVWLWXWLRQVDQG0RQH\ ,SSROLWR)2]GDJOL$.3HUH]2ULYH$   The Transmission of Monetary Policy through Bank Lending: The Floating Rate Channel )LQDQFHDQG(FRQRPLFV'LVFXVVLRQ6HULHV:DVKLQJWRQ%RDUGRI*RYHUQRUV RIWKH)HGHUDO5HVHUYH6\VWHP -DQMXD3=5DVKLG$4XUUDW8$  Impact of Monetary Policy on Bank’ Balance Sheet in Pakistan,QWHUQDWLRQDO-RXUQDORI(FRQRPLFVDQG )LQDQFH   .DOHHP $ ,VD 0   Islamic Banking and Money Demand Function in Malaysia: An Econometric Analysis 3DNLVWDQ (FRQRPLF DQG 6RFLDO5HYLHZ;/,9   .DVK\DE$.6WHLQ-&   Monetary policy and bank lending in Monetary policy7KH8QLYHUVLW\RI&KLFDJR3UHVV   .DVK\DE $. 6WHLQ -&   7KH Impact of Monetary Policy on Bank Balance Sheets1%(5:RUNLQJ3DSHU1R .LVKDQ532SLHOD73 ), Bank Size, Bank Capital, and the Bank Lending Channel-RXUQDORI0RQH\&UHGLWDQG%DQNLQJ   .|KOHU 0 -XGLW + 0DWWKLDV *   The Role of Banks in the Transmission of Monetary Policy in the Baltics &HQWUH IRU (XURSHDQ (FRQRPLF5HVHDUFK =(: 'LVFXVVLRQ3DSHU 0LVKNLQ )6   The Channels of Monetary Transmission: Lesson for Monetary Policy1%(5:RUNLQJ3DSHU1R 3UXWHDQX $   The Role of Banks in the Czech Monetary Policy Transmission Mechanism&]HFK1DWLRQDO%DQN:RUNLQJ3DSHUV 6DQUHJR < ' 1LNPDZDWL .   Transmission Mechanism of 57
  18. The Role Of Credit Supply Channel In Transmission Of Monetary Policy ... Sharia Financing in Malaysia7KH-RXUQDORI0XDPDODW,VODPLF)LQDQFH 5HVHDUFK -0,)5    6DQWLV5$6XULFR3  Bank lending and monetary transmission in the euro area(FRQRPLF3ROLF\   6FKPLW] %   What Role do Banks play in Monetary Policy Transmission in EU New Member Countries?0LPHR   6KDUSH 6$   Bank Capitalization, Regulation, and the Credit Crunch: A Critical Review of the Research Findings,%RDUGRI*RYHUQRUVRI WKH)HGHUDO5HVHUYH6\VWHP)LQDQFHDQG(FRQRPLFV'LVFXVVLRQ6HULHV1R  6XNPDQD 5 .DVVLP 6+   Roles of the Islamic Banks in the Monetary Transmission in Malaysia ,QWHUQDWLRQDO -RXUQDO RI ,VODPLF DQG 0LGGOH(DVWHUQ)LQDQFHDQG0DQDJHPHQW,   :RQJ .   Variability in the effects of monetary policy on economic activity-RXUQDORI0RQH\&UHGLWDQG%DQNLQJ   58