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Licensed Unlicensed Requires Authentication Published by De Gruyter May 1, 2018

Long-run and Short-run Monetary Policy Transmission Channels in Lebanon

Ali Awdeh

Abstract

This research detects the existence of monetary policy transmission mechanisms in Lebanon through which the actions of the central bank propagate. By adopting co-integration analysis and VECM frameworks, and by exploiting monthly data between January 1994 and December 2016, the research revealed the existence of a long-run interest rate channel, affecting both resident private sector deposits and credit to the private sector. Another short-run capital channel was revealed, affecting total credit provided by the banking sector. Additionally, the empirical results show that (1) deposit inflows are not attracted by high interest rates, but stimulated by confidence provided by large foreign currency reserves held by the central banks; (2) non-residents deposit inflows could represent a substitute for local credit; (3) banks pass-through any increase in funding cost to borrowers; and (4) an increase in external interest rates may trigger deposit outflows.

JEL Classification: E51; E52; E58

Appendix

A Empirical results of the estimation of NON_RESID_DEP

Table 3:

VAR Lag Order Selection Criteria.

LagLogLLRFPEAICSCHQ
0−9204.224NA4.84e+2368.72568.79268.752
1−6396.7655489.2124.64e+1447.96048.362*48.122*
2−6357.88974.5604.19e+14*47.857*48.59448.153
3−6341.67230.4984.47e+1447.92248.99448.353
4−6324.47531.6974.75e+1447.98149.38848.546
5−6293.63455.6984.55e+1447.93749.67948.637
6−6280.72622.8304.99e+1448.02750.10448.861
7−6258.37438.698*5.10e+1448.04750.45949.016
8−6246.96719.3235.67e+1448.14950.89549.252

  1. Notes: * indicates lag order selected by the criterion. Endogenous variables: NON_RESID_DEP, BDL_RESERVE, TOTAL_CRED, DEP_RATE, LIBOR. Exogenous variables: C. Included observations: 268.

Table 4:

Johansen-Fisher co-integration test.

Hypothesized No. of CE(s)Trace StatisticProb.Max-Eigen StatisticProb.
None *78.7110.00834.1720.046
At most 144.5390.09928.1090.042
At most 216.4290.68111.6560.581
At most 34.7720.8324.1320.845
At most 40.6390.4230.6390.423

  1. Notes: Series: NON_RESID_DEP, BDL_RESERVE, TOTAL_CRED, DEP_RATE, LIBOR. Included observations: 273 after adjustments. Lags interval (in first differences): 1 to 2. Trace test indicates 1 cointegrating eqn(s) at the 5 % level. Max-eigenvalue test indicates 2 cointegrating eqn(s) at the 5 % level.

Table 5:

Cointegration equation – Normalised cointegrating coefficients.

NON_RESID_DEPBDL_RESERVETOTAL_CREDDEP_RATELIBOR
1.000−0.003−0.451***−551.484***232.230
[−0.047][−13.584][−2.945][0.989]

  1. Notes: t-statistics in []. *** denotes significant at the 1 % level.

Table 6:

Vector Error Correction Estimates.

D(NON_RESID_DEP)D(RESERVE)D(TOTAL_CRED)D(DEP_RATE)D(LIBOR)
CointEq1−0.036**−0.0900.0022.12E-053.12E-05
[−2.055][−2.947][0.094][2.010][4.224]
D(NON_RESID_DEP(-1))−0.0670.1550.009−5.76E-06−3.06E-05
[−1.064][1.429][0.103][−0.153][−1.16893]
D(NON_RESID_DEP(-2))0.0100.212−0.0741.91E-051.39E-05
[0.172][1.973][−0.788][0.514][0.534]
D(BDL_RESERVE(-1))−0.003−0.0230.145−3.17E-051.56E-05
[−0.090][−0.377][2.609][−1.463][1.026]
D(BDL_RESERVE(-2))0.086**−0.024−0.104−2.71E-051.79E-05
[2.319][−0.382][−1.860][−1.231][1.159]
D(TOTAL_CRED(-1))0.078−0.0050.164−2.42E-062.23E-05
[1.900][−0.073][2.608][−0.098][1.292]
D(TOTAL_CRED(-2))−0.030*−0.0130.102−1.89E-052.31E-06
[−0.741][−0.187][1.634][−0.769][0.134]
D(DEP_RATE(-1))71.284144.456251.1270.314−0.012
[0.697][0.819][1.618][5.187][−0.295]
D(DEP_RATE(-2))−0.345−49.332−55.330−0.138−0.044
[−0.003][−0.280][−0.357][−2.293][−1.048]
D(LIBOR(-1))17.353112.643−18.651−0.0010.223
[0.115][0.436][−0.082][−0.012][3.598]
D(LIBOR(-2))31.895−30.98614.571−0.0800.027
[0.215][−0.121][0.064][−0.922][0.452]
C159.889***122.248325.074−0.008−0.023
[4.091][1.812][5.475][−0.346][−1.432]
Adj. R-squared0.0340.0160.0520.1130.151
F-statistic1.8801.4122.3744.1585.402
D-W Statistic1.9582.0192.0201.9932.008
Observations273273273273273

  1. Notes: t-statistics in []. ***, **, * denote significant at the 1 %, 5 %, and 10 % respectively.

Table 7:

VEC Granger Causality/Block Exogeneity Wald Tests. Dependent variable: D(NON_RESID_DEP).

ExcludedChi-sqdfProb.
D(BDL_RESERVES)5.41720.066*
D(TOTAL_CRED)3.89320.142
D(DEP_RATE)0.53120.766
D(LIBOR)0.07520.963
All10.99380.202

  1. Notes: * denotes significant at the 10 % level. Included observations: 273.

B Empirical results of the estimation of RESID_DEP

Table 8:

VAR Lag Order Selection Criteria.

LagLogLLRFPEAICSCHQ
0−6832.338NA1.69e+1751.01751.07151.038
1−4371.7294829.4032.01e+0932.77433.042*32.881
2−4331.12178.4881.67e+0932.59033.07232.784*
3−4307.03545.8351.58e+09*32.530*33.22632.809
4−4299.28114.5251.68e+0932.59133.50232.957
5−4281.38832.9809*1.66e+0932.57733.70333.029
6−4275.09911.4051.78e+0932.64933.98933.188
7−4269.26910.3971.92e+0932.72534.28033.350
8−4259.37617.3492.02e+0932.77134.54033.481

  1. Notes: * indicates lag order selected by the criterion. Endogenous variables: RESID_DEP, BDL_RESERVE, DEP_RATE, LIBOR. Exogenous variables: C. Included observations: 268.

Table 9:

Johansen-Fisher co-integration test.

Hypothesized No. of CE(s)Trace StatisticProb.Max-Eigen StatisticProb.
None *51.2070.02335.1570.004
At most 116.0490.7089.9710.747
At most 26.0780.6863.8930.870
At most 32.1840.1392.1840.139

  1. Notes: Series: RESID_DEP, BDL_RESERVE, DEP_RATE, LIBOR. Included observations: 272 after adjustments. Lags interval (in first differences): 1 to 3. Trace test indicates 1 cointegrating eqn(s) at the 5 % level. Max-eigenvalue test indicates 1 cointegrating eqn(s) at the 5 % level.

Table 10:

Cointegration equation – Normalised cointegrating coefficients.

RESID_DEPBDL_RESERVEDEP_RATELIBOR
1.000−4.462***10,699.990***−10,390.030**
[−7.455][3.504][−2.430]

  1. Notes: t-statistics in []. *** and ** denote significant at the 1 % and 5 % levels respectively.

Table 11:

Vector Error Correction Estimates.

D(RESID_DEP)D(BDL_RESERVE)D(DEP_RATE)D(LIBOR)
CointEq1−0.006***0.003−8.68E-074.30E-08
[−4.658][2.251][−1.493][0.104]
D(RESID_DEP(-1))0.0230.230−2.11E-05−1.81E-05
[0.357][2.924][−0.775][−0.940]
D(RESID_DEP(-2))−0.272***0.133−2.51E-054.66E-05
[−4.259][1.717][−0.937][2.453]
D(RESID_DEP(-3))0.0560.1161.51E-05−1.31E-05
[0.854][1.452][0.543][−0.668]
D(BDL_RESERVE(-1))0.182***−0.030−3.54E-055.77E-06
[3.509][−0.479][−1.631][0.375]
D(BDL_RESERVE(-2))0.152***−0.037763−3.31E-051.11E-05
[2.866][−0.587][−1.488][0.706]
D(BDL_RESERVE(-3))0.0560.0955−6.55E-06−1.16E-05
[1.057][1.481][−0.293][−0.733]
D(DEP_RATE(-1))161.164191.93440.315192−0.012662
[1.095][1.079][5.120][−0.290]
D(DEP_RATE(-2))−28.648−72.420−0.1274−0.022
[−0.187][−0.391][−1.993][−0.496]
D(DEP_RATE(-3))73.77333.127−0.008−0.052
[0.507][0.188][−0.132][−1.223]
D(LIBOR(-1))−409.378**−95.9840.0210.291
[−1.977][−0.383][0.246][4.753]
D(LIBOR(-2))−202.373−111.021−0.02510.052
[−0.941][−0.427][−0.279][0.822]
D(LIBOR(-3))−2.68983.98−0.0050.128
[−0.013][0.338][−0.059][2.113]
C711.113***−141.8460.010−0.020
[8.418][−1.388][0.301][−0.815]
Adj. R-squared0.1580.0300.1020.119
F-statistic4.9281.6463.3813.830
D-W Statistic1.9802.0661.9742.034
Observations272272272272

  1. Notes: t-statistics in []. *** and ** denote significant at the 1 % and 5 % levels respectively.

Table 12:

VEC Granger Causality/Block Exogeneity Wald Tests. Dependent variable: D(RESID_DEP).

ExcludedChi-sqdfProb.
D(BDL_RESERVE)19.49830.000***
D(DEP_RATE)1.40730.703
D(LIBOR)6.77730.079*
All26.57690.001***

  1. Notes: *** and * denote significant at the 1 % and 10 % levels respectively. Included observations: 272.

C Empirical results of the estimation of TOTAL_CRED

Table 13:

VAR Lag Order Selection Criteria.

LagLogLLRFPEAICSCHQ
0−11,052.380NA4.73e+2982.51782.58482.544
1−8134.0645705.9651.98e+2060.92561.327*61.087
2−8082.54298.8141.63e+20*60.727*61.46461.023*
3−8058.90744.4481.64e+2060.73861.81061.168
4−8046.77822.3561.81e+2060.83462.24161.399
5−8022.88543.150*1.83e+2060.84262.58461.542
6−8002.87235.3961.90e+2060.87962.95661.713
7−7993.41516.3722.14e+2060.99563.40761.964
8−7976.16129.2302.28e+2061.05363.80062.156

  1. Notes: * indicates lag order selected by the criterion. Endogenous variables: TOTAL_CRED, M2, CAPITAL, BANK_RESERVE, LIBOR. Exogenous variables: C. Included observations: 268.

Table 14:

Johansen-Fisher co-integration test.

Hypothesized No. of CE(s)Trace StatisticProb.Max-Eigen StatisticProb.
None *90.5070.00049.6090.000
At most 140.8970.19220.0320.338
At most 220.8650.36613.1930.434
At most 37.6710.5017.6540.414
At most 40.0160.8960.0160.896

  1. Notes: Series: TOTAL_CRED, M2, CAPITAL, BANK_RESERVE, LIBOR. Included observations: 273 after adjustments. Lags interval (in first differences): 1 to 2. Trace test indicates 1 cointegrating eqn(s) at the 5 % level. Max-eigenvalue test indicates 1 cointegrating eqn(s) at the 5 % level.

Table 15:

Cointegration equation – Normalised cointegrating coefficients.

TOTAL_CREDM2CAPITALBANK_RESERVELIBOR
1.000−2.718**2.866−1.178−1,764.620
[−2.151][0.674][−1.213][−0.518]

  1. Notes: t-statistics in []. ** denotes significant at the 5 % level.

Table 16:

Vector Error Correction Estimates.

D(TOTAL_CRED)D(M2)D(CAPITAL)D(BANK_RESERVE)D(LIBOR)
CointEq1−0.002*0.0003−0.001−0.004−4.98E-07
[−1.719][0.333][−4.311][−2.687][−1.204]
D(TOTAL_CRED(-1))0.149*−0.0040.0245−0.2101.03E-05
[1.858][−0.064][1.274][−2.215][0.451]
D(TOTAL_CRED(-2))−0.0450.120−0.0080.2593.21E-06
[−0.563][1.850][−0.460][2.710][0.139]
D(M2(-1))0.188**0.4910.0090.034−4.57E-06
[2.189][7.123][0.473][0.338][−0.187]
D(M2(-2))−0.035−0.166−0.0080.0075.84E-06
[−0.414][−2.417][−0.407][0.070][0.2405
D(CAPITAL(-1))−0.2020.1160.066−0.112−0.0001
[−0.770][0.553][1.049][−0.363][−2.068]
D(CAPITAL(-2))0.497*0.047−0.0930.036−9.09E-05
[1.874][0.221][−1.466][0.115][−1.212]
D(BANK_RESERVE(-1))0.0330.044−0.0090.037−4.83E-06
[0.526][0.867][−0.589][0.497][−0.264]
D(BANK_RESERVE(-2))−0.163**0.094−0.0090.4027.66E-06
[−2.554][1.831][−0.629][5.321][0.422]
D(LIBOR(-1))37.499−176.65030.653−270.4260.295
[0.171][−1.004][0.583][−1.045][4.762]
D(LIBOR(-2))−62.6763.814−15.656−211.7550.109
[−0.289][0.021][−0.301][−0.827][1.778]
C376.560***53.128103.368248.7840.009
[4.040][0.710][4.628][2.261][0.352]
Adj. R-squared0.0730.2190.0980.2550.108
F-statistic2.9727.9343.6989.4754.008
D-W Statistic1.9991.9801.9882.0012.010
Observations273273273273273

  1. Notes: t-statistics in []. ***, **, * denote significant at the 1 %, 5 %, and 10 % levels respectively.

Table 17:

VEC Granger Causality/Block Exogeneity Wald Tests. Dependent variable: D(TOTAL_CRED).

ExcludedChi-sqdfProb.
D(M2)4.94020.084*
D(CAPITAL)3.91020.141
D(BANK_RESERVE)6.71920.034**
D(LIBOR)0.09020.956
All18.36680.018**

  1. Notes: ** and * denote significant at the 5 % and 10 % levels respectively. Included observations: 273.

D Empirical results of the estimation of PRIV_CRED

Table 18:

VAR Lag Order Selection Criteria.

LagLogLLRFPEAICSCHQ
0−9029.157NA2.22e+2467.41167.46567.433
1−6403.7145152.9227.75e+1547.93848.206*48.045
2−6374.14557.152*7.01e+15*47.836*48.31948.030*
3−6362.49122.1777.24e+1547.86948.56648.149
4−6351.74320.1327.53e+1547.90848.81948.274
5−6342.95516.1977.95e+1547.96249.08748.414
6−6334.04616.1568.39e+1548.01549.35548.553
7−6325.44015.3488.88e+1548.07049.62448.694
8−6318.89111.4849.54e+1548.14049.90948.851

  1. Notes: * indicates lag order selected by the criterion. Endogenous variables: PRIV_CRED, TOTAL_DEP, LEND_RATE, PUB_CRED. Exogenous variables: C. Included observations: 268.

Table 19:

Johansen-Fisher co-integration test.

Hypothesized No. of CE(s)Trace StatisticProb.Max-Eigen StatisticProb.
None *74.5780.00054.3560.000
At most 120.2210.40714.8430.300
At most 25.37860.7674.8510.760
At most 30.52740.4670.5270.467

  1. Notes: Series: PRIV_CRED, TOTAL_DEP, LEND_RATE, PUB_CRED. Included observations: 273 after adjustments. Lags interval (in first differences): 1 to 2. Trace test indicates 1 cointegrating eqn(s) at the 5 % level. Max-eigenvalue test indicates 1 cointegrating eqn(s) at the 5 % level.

Table 20:

Cointegration equation - Normalised cointegrating coefficients.

PRIV_CREDTOTAL_DEPLEND_RATEPUB_CRED
1.000−0.346***−849.471***−0.238
[−10.950][−5.768][−1.608]

  1. Notes: t-statistics in []. *** denotes significant at the 1 % level.

Table 21:

Vector Error Correction Estimates.

D(PRIV_CRED)D(TOTAL_DEP)D(LEND_RATE)D(PUB_CRED)
CointEq1−0.038***−0.086−2.47E-06−0.002
[−6.690][−4.383][−0.318][−0.166]
D(PRIV_CRED(-1))0.0570.3221.81E-05−0.038
[0.962][1.556][0.221][−0.265]
D(PRIV_CRED(-2))0.127**0.126−1.91E-050.043
[2.131][0.609][−0.233][0.305]
D(TOTAL_DEP(-1))−0.007−0.043−2.31E-06−0.009
[−0.371][−0.663][−0.088][−0.202]
D(TOTAL_DEP(-2))−0.030−0.127−4.10E-05−0.035
[−1.632][−1.967][−1.606][−0.784]
D(LEND_RATE(-1))16.268−333.1590.380155.455
[0.367][−2.167][6.300][1.466]
D(LEND_RATE(-2))−17.98296.1040.083−32.773
[−0.402][0.618][1.362][−0.305]
D(PUB_CRED(-1))−0.0040.133−3.15E-050.164
[−0.180][1.472][−0.885][2.636]
D(PUB_CRED(-2))−0.034−0.090−1.14E-050.061
[−1.343][−1.002][−0.320][0.980]
C247.321***837.3680.007176.991
[7.412][7.220][0.154][2.212]
Adj. R-squared0.2510.1180.1690.008
F-statistic11.1405.0777.1661.260
D-W Statistic2.0061.9432.0252.005
Observations273273273273

  1. Notes: t-statistics in []. *** and ** denote significant at the 1 % and 5 % levels respectively.

Table 22:

VEC Granger Causality/Block Exogeneity Wald Tests. Dependent variable: D(PRIV_CRED).

ExcludedChi-sqdfProb.
D(TOTAL_DEP)2.71920.256
D(LEND_RATE)0.21220.899
D(PUB_CRED)1.95320.376
All5.80560.445

  1. Notes: Included observations: 273.

E Empirical results of the estimation of DEP_RATE

Table 23:

VAR Lag Order Selection Criteria.

LagLogLLRFPEAICSCHQ
0−7337.734NA4.32e+1754.79654.86354.823
1−4559.7475431.5875.16e+0834.25134.65334.413
2−4467.719176.5022*3.13e+08*33.751*34.488*34.047*
3−4449.90033.509753.31e+0833.80534.87734.235
4−4436.99623.784793.62e+0833.89535.30234.460
5−4421.84827.357123.90e+0833.96935.71034.668
6−4413.73714.345314.44e+0834.09536.17134.929
7−4402.13620.085854.92e+0834.19536.60635.163
8−4391.75317.589085.51e+0834.30437.05035.407

  1. Notes: * indicates lag order selected by the criterion. Endogenous variables: DEP_RATE, TOTAL_DEP, TOTAL_CRED, TBILL_YIELD, LIBOR. Exogenous variables: C. Included observations: 268.

Table 24:

Johansen-Fisher co-integration test.

Hypothesized No. of CE(s)Trace StatisticProb.Max-Eigen StatisticProb.
None *90.4160.00042.5920.003
At most 147.8240.05027.4490.052
At most 220.3750.39710.6370.683
At most 39.73740.3018.35250.344
At most 41.38480.2391.38480.239

  1. Notes: Series: DEP_RATE, TOTAL_DEP, TOTAL_CRED, TBILL_YIELD, LIBOR. Included observations: 273 after adjustments. Lags interval (in first differences): 1 to 2. Trace test indicates 1 cointegrating eqn(s) at the 5 % level. Max-eigenvalue test indicates 1 cointegrating eqn(s) at the 5 % level.

Table 25:

Cointegration equation - Normalised cointegrating coefficients.

DEP_RATETOTAL_DEPTOTAL_CREDTBILL_YIELDLIBOR
1.0004.05E-05**−5.59E-05*0.588***0.240***
[2.402][−1.813][13.614][2.798]

  1. Notes: t-statistics in []. ***, **, * denote significant at the 1 %, 5 %, and 10 % levels respectively.

Table 26:

Vector Error Correction Estimates.

D(DEP_RATE)D(TOTAL_DEP)D(TOTAL_CRED)D(TBILL_YIELD)D(LIBOR)
CointEq1−0.036**471.700176.9000.0180.022
[−2.009][5.746][2.883][0.479][1.299]
D(DEP_RATE(-1))−0.007101.183313.745−1.069−0.037
[−0.121][0.385][1.600][−8.864][−0.678]
D(DEP_RATE(-2))0.135**3.39019.080.430−0.032
[2.597][0.014][0.108][3.974][−0.65524]
D(TOTAL_DEP(-1))−7.83E-06−0.059−0.002−1.95E-06−1.86E-05
[−0.541][−0.907][−0.058][−0.065][−1.372]
D(TOTAL_DEP(-2))−5.42E-06−0.119−0.050−1.86E-052.26E-05
[−0.377][−1.849][−1.050][−0.625][1.680]
D(TOTAL_CRED(-1))−7.99E-060.1980.152−2.63E-051.49E-05
[−0.431][2.375][2.444][−0.684][0.855]
D(TOTAL_CRED(-2))−1.07E-050.0100.071−6.73E-06−1.19E-05
[−0.574][0.120][1.141][−0.173][−0.679]
D(TBILL_YIELD(-1))0.289***290.189135.5870.5250.009
[9.384][2.083][1.302][8.204][0.323]
D(TBILL_YIELD(-2))0.134***111.137−29.2070.0690.029
[4.028][0.740][−0.260][1.002][0.941]
D(LIBOR(-1))0.047−395.956−59.044−0.0310.298
[0.731][−1.351][−0.269][−0.230][4.899]
D(LIBOR(-2))0.010−230.5415.879−0.0180.098
[0.163][−0.795][0.027][−0.136][1.629]
C0.012908.579390.407−0.005−0.011
[0.572][9.031][5.179][−0.120][−0.545]
Adj. R-squared0.4830.1170.0460.3460.113
F-statistic24.1724.2812.20314.1294.157
D-W Statistic2.0261.9512.0082.0182.011
Observations273273273273273

  1. Notes: t-statistics in []. *** and ** denote significant at the 1 % and 5 % levels respectively.

Table 27:

VEC Granger Causality/Block Exogeneity Wald Tests. Dependent variable: D(DEP_RATE).

ExcludedChi-sqdfProb.
D(TOTAL_DEP)0.40420.816
D(TOTAL_CRED)0.59220.743
D(TBILL_YIELD)129.72920.000***
D(LIBOR)0.71620.698
All136.17080.000***

  1. Notes: *** denotes significant at the 10 % level. Included observations: 273.

F Empirical results of the estimation of LEN_RATE

Table 28:

VAR Lag Order Selection Criteria.

LagLogLLRFPEAICSCHQ
0−7336.795NA2.53e+1654.79654.87754.829
1−4225.7776059.5222,735,672.31.84932.41132.075
2−4069.238297.8901,113,181.*30.949*31.994*31.369*
3−4040.21253.9361,173,789.31.00132.52931.615
4−4010.15554.505*1,229,276.31.04533.05531.853
5−3988.80737.7571,375,402.31.15533.64732.156
6−3962.88844.6811,489,412.31.23034.20532.425
7−3944.08131.5791,703,729.31.35834.81532.747
8−3921.02237.6851,891,869.31.45535.39433.037

  1. Notes: * indicates lag order selected by the criterion. Endogenous variables: LEND_RATE, PRIV_CRED, M2, DEP_RATE, TBILL_YIELD, LIBOR. Exogenous variables: C. Included observations: 268.

Table 29:

Johansen-Fisher co-integration test.

Hypothesized No. of CE(s)Trace StatisticProb.Max-Eigen StatisticProb.
None *159.8710.00066.1690.000
At most 1 *93.7010.00041.6790.004
At most 2 *52.0220.01935.8750.003
At most 316.1460.70213.3430.421
At most 42.8030.9752.5300.973
At most 50.2730.6010.2730.601

  1. Notes: Series: LEND_RATE, PRIV_CRED, M2, DEP_RATE, TBILL_YIELD, LIBOR. Included observations: 273 after adjustments. Lags interval (in first differences): 1 to 2. Trace test indicates 3 cointegrating eqn(s) at the 5 % level. Max-eigenvalue test indicates 3 cointegrating eqn(s) at the 5 % level.

Table 30:

Cointegration equation - Normalised cointegrating coefficients.

LEND_RATEPRIV_CREDM2DEP_RATETBILL_YIELDLIBOR
1.0004.54E-05−6.05E-05**1.500***0.299**0.024
[1.435][−2.061][7.011][2.428][0.291]

  1. Notes: t-statistics in []. *** and ** denote significant at the 1 % and 5 % levels respectively.

Table 31:

Vector Error Correction Estimates.

D(LEND_RATE)D(PRIV_CRED)D(M2)D(DEP_RATE)D(TBILL_YIELD)D(LIBOR)
CointEq1−0.160***−94.05−71.5800.016−0.0530.002
[−6.556][−4.044][−1.603][1.079][−1.552][0.162]
D(LEND_RATE(-1))0.111*16.785−64.2350.260−0.063−0.066
[1.930][0.306][−0.610][7.190][−0.786][−1.744]
D(LEND_RATE(-2))0.02217.767−101.076−0.059−0.1150.022
[0.380][0.313][−0.929][−1.591][−1.379][0.572]
D(PRIV_CRED(-1))−7.23E-050.1440.0871.88E-05−1.51E-054.64E-05
[−1.143][2.391][0.755][0.471][−0.168][1.112]
D(PRIV_CRED(-2))−0.0001**0.2010.0871.11E-057.96E-05−1.99E-05
[−1.987][3.349][0.753][0.277][0.891][−0.475]
D(M2(-1))−7.54E-05**−0.0220.499−6.60E-05−0.0001−4.21E-06
[−2.215][−0.698][8.031][−3.082][−2.917][−0.187]
D(M2(-2))−2.06E-050.001−0.096−4.44E-06−1.68E-057.64E-06
[−0.588][0.038][−1.499][−0.201][−0.340][0.330]
D(DEP_RATE(-1))−0.067−85.527514.349−0.103−1.068−0.016
[−0.683][−0.905][2.838][−1.662][−7.634][−0.247]
D(DEP_RATE(-2))0.247***−103.685−111.1980.0720.487−0.013
[2.745][−1.208][−0.6754[1.278][3.837][−0.222]
D(TBILL_YIELD(-1))0.295***17.63−30.5190.2610.4980.009
[6.675][0.419][−0.377][9.413][7.990][0.334]
D(TBILL_YIELD(-2))0.082*−15.976−177.0560.1280.0640.027
[1.743][−0.352][−2.035][4.298][0.964][0.872]
D(LIBOR(-1))0.040−10.438−177.3770.035−0.0530.299
[0.434][−0.1169][−1.035][0.609][−0.402][4.844]
D(LIBOR(-2))−0.164*−34.862−32.1190.029−0.0290.093
[−1.771][−0.395][−0.189][0.498][−0.228][1.537]
C0.038171.084109.6440.014−0.022−0.017
[1.287][6.066][2.025][0.786][−0.542][−0.876]
Adj. R-squared0.4520.1640.2410.5770.3740.093
F-statistic18.2775.1277.65029.62913.5533.153
D-W Statistic1.9302.0872.0052.0472.0202.022
Observations273273273273273273

  1. Notes: t-statistics in []. ***, **, * denote significant at the 1 %, 5 %, and 10 % levels respectively.

Table 32:

VEC Granger Causality/Block Exogeneity Wald Tests. Dependent variable: D(LEND_RATE).

ExcludedChi-sqdfProb.
D(PRIV_CREDIT)6.39820.040**
D(M2)7.65820.021**
D(DEP_RATE)8.54220.014**
D(TBILL_YIELD)61.77220.000***
D(LIBOR)3.16320.205
All92.440100.000***

  1. Notes: **** and ** denote significant at the 1 % and 5 % levels. Included observations: 273.

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Published Online: 2018-5-1

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