Monetary policy, credit and economic growth: a comparison between Japan, UK, US and Euro Area
Autor(a) principal: | |
---|---|
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 |
Resumo: | 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. |
id |
RCAP_3a2b6663982dd032db591283b8f1e889 |
---|---|
oai_identifier_str |
oai:repositorio.iscte-iul.pt:10071/21135 |
network_acronym_str |
RCAP |
network_name_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
repository_id_str |
7160 |
spelling |
Monetary policy, credit and economic growth: a comparison between Japan, UK, US and Euro AreaVAR modelCreditMonetary policyPolicy effectsModelo VARCréditoPolítica monetáriaEfeitos das políticasThis 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.Esta dissertação pretende estudar todas a possíveis relações entre a política monetária, o crédito e o crescimento económico no Japão, no Reino Unido, nos Estados Unidos da América, entre 1995T1 e 2019T2, e na Zona Euro, entre 1999T1 e 2019T2. Para isso foi estimado um modelo VAR para cada país que inclui três variáveis: a Taxa Sombra de Curto Prazo, o crédito concedido ao setor privado não-financeiro e o Produto Interno Bruto. Os resultados mostram que os efeitos de alterações na política monetária no crédito e no PIB não estão de acordo com a teoria económica, dadas as reações positivas destas variáveis após um aperto na política monetária. Para além disso, analisando e comparando as respostas da política monetária a choques no crédito e no PIB, conclui-se que o rácio crédito-PIB e a inflação parecem ser fatores importantes para explicar as diferenças nas respostas. Finalmente, no Reino Unido, nos Estados Unidos e na Zona Euro existe uma relação bidirecional positiva entre PIB e crédito – um choque no crédito estimula o PIB e o crédito cresce quando a economia está em expansão. Enquanto no Japão apenas existe uma resposta positiva do crédito aquando de um choque no PIB. O baixo peso do crédito nesta economia e o baixo volume de crédito parecem explicar a reação negativa do PIB a um choque no crédito.2021-01-07T09:53:31Z2020-12-04T00:00:00Z2020-12-042020-10info:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10071/21135TID:202559360engReis, André Filipe Dias dosinfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-11-09T17:40:05Zoai:repositorio.iscte-iul.pt:10071/21135Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T22:18:31.193377Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse |
dc.title.none.fl_str_mv |
Monetary policy, credit and economic growth: a comparison between Japan, UK, US and Euro Area |
title |
Monetary policy, credit and economic growth: a comparison between Japan, UK, US and Euro Area |
spellingShingle |
Monetary policy, credit and economic growth: a comparison between Japan, UK, US and Euro Area Reis, André Filipe Dias dos VAR model Credit Monetary policy Policy effects Modelo VAR Crédito Política monetária Efeitos das políticas |
title_short |
Monetary policy, credit and economic growth: a comparison between Japan, UK, US and Euro Area |
title_full |
Monetary policy, credit and economic growth: a comparison between Japan, UK, US and Euro Area |
title_fullStr |
Monetary policy, credit and economic growth: a comparison between Japan, UK, US and Euro Area |
title_full_unstemmed |
Monetary policy, credit and economic growth: a comparison between Japan, UK, US and Euro Area |
title_sort |
Monetary policy, credit and economic growth: a comparison between Japan, UK, US and Euro Area |
author |
Reis, André Filipe Dias dos |
author_facet |
Reis, André Filipe Dias dos |
author_role |
author |
dc.contributor.author.fl_str_mv |
Reis, André Filipe Dias dos |
dc.subject.por.fl_str_mv |
VAR model Credit Monetary policy Policy effects Modelo VAR Crédito Política monetária Efeitos das políticas |
topic |
VAR model Credit Monetary policy Policy effects Modelo VAR Crédito Política monetária Efeitos das políticas |
description |
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. |
publishDate |
2020 |
dc.date.none.fl_str_mv |
2020-12-04T00:00:00Z 2020-12-04 2020-10 2021-01-07T09:53:31Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/masterThesis |
format |
masterThesis |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10071/21135 TID:202559360 |
url |
http://hdl.handle.net/10071/21135 |
identifier_str_mv |
TID:202559360 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.source.none.fl_str_mv |
reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação instacron:RCAAP |
instname_str |
Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
instacron_str |
RCAAP |
institution |
RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
collection |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
repository.name.fl_str_mv |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
repository.mail.fl_str_mv |
|
_version_ |
1799134744019992576 |