Monetary policy, credit and economic growth: a comparison between Japan, UK, US and Euro Area

• Autor(a) principal: Reis, André Filipe Dias dos
• Data de Publicação: 2020
• Tipo de documento: Dissertação
• Idioma: eng
• Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
• Texto Completo: http://hdl.handle.net/10071/21135
• topic: VAR model; Credit; Monetary policy; Policy effects; Modelo VAR; Crédito; Política monetária; Efeitos das políticas

This dissertation pretends to study the relationship between monetary policy, credit and economic growth in Japan, the United Kingdom, the United States, between 1995Q1 and 2019Q2, and the Euro Area, between 1999Q1 and 2019Q2. For that it was estimated a VAR model for each country including three variables: the Short-run Shadow Rate, the credit to the private non-financial sector and the Gross Domestic Product. The results show that the effects of monetary policy changes on credit and on GDP are not in accordance with economic theory, given positive responses of these variables following a monetary policy tightening. Moreover, analyzing and comparing monetary policy responses to credit and GDP shocks, it is possible to conclude that credit-to-GDP ratio and inflation seem to be important factors to explain the differences found in the responses. Finally, in the UK, the US and the Euro Area there is a bidirectional positive relation between credit and GDP – a credit shock stimulates GDP and credit increases when the economy expands. However, Japan just presents a positive reaction of credit after a GDP shock. The low credit weight in this economy and the low credit volume seem to explain the negative GDP reaction to a credit shock.