Research Article


DOI :10.26650/JEPR1343548   IUP :10.26650/JEPR1343548    Full Text (PDF)

Does Exchange Rate Volatility Affect the Bank Lending Channel?

Burak Buyun

The bank lending channel is one of the most debated channels of the transmission mechanism, especially in Turkey. According to many studies, exchange rate volatility is a good indicator of macroeconomic, financial and political instability. This study tests whether the bank lending channel is affected by exchange rate volatility in Turkey. Thus, we aim to obtain an important finding on why the bank lending channel works weakly in Turkey. To test this hypothesis, the Vector Auto Regression (VAR) model is used for the period January 2011- September 2023. Evidence from the impulse response function suggests that exchange rate volatility has a negative impact on loans, while variance decomposition results show that exchange rate volatility has a high power to explain the change in loans. Credit may not always respond to expansionary (contractionary) monetary policy in an increasing (decreasing) direction. In periods of high exchange rate volatility (political, financial, macroeconomic instability), banks may not increase lending even in a low interest rate environment. This is because when exchange rate volatility is high, banks avoid taking risks under uncertainty. Therefore, for the bank lending channel to work more effectively, macroeconomic, financial and political stability should be ensured in addition to monetary policy. 

JEL Classification : E50 , E51 , E59
DOI :10.26650/JEPR1343548   IUP :10.26650/JEPR1343548    Full Text (PDF)

Döviz Kuru Oynaklığı Banka Kredi Kanalını Etkiliyor mu?

Burak Buyun

Banka kredileri kanalı aktarım mekanizmasının, özellikle Türkiye’de, en çok tartışılan kanallardan birisidir. Döviz kuru oynaklığı ise pek çok çalışmaya göre makro ekonomik, finansal ve politik istikrarsızlığı yansıtması açısından iyi bir göstergedir. Bu çalışmada Türkiye’de banka kredileri kanalının döviz kuru oynaklığından etkilenip etkilenmediğini test edilmektedir. Böylelikle banka kredi kanalının Türkiye’de neden zayıf çalıştığına dair önemli bir bulgu elde etmek istenmektedir. Bu hipotezi test etmek için Vector Auto Regression (VAR) modeli 2011 Ocak – 2023 Eylül dönemi için kullanılmıştır. Etki tepki fonksiyonundan elde edilen bulgular döviz kuru oynaklığının krediler üzerinde negatif bir etkiye sahip olduğunu gösterirken, varyans ayrıştırma sonuçları döviz kuru oynaklığının kredilerdeki değişimi açıklamak için yüksek bir güce sahip olduğunu göstermektedir. Genişlemeci (daraltıcı) para politikasına krediler her zaman artan (azalan) yönde tepki vermeyebilmektedir. Döviz kuru oynaklığının yüksek olduğu (politik, finansal, makroekonomik istikrarsızlığın olduğu) dönemlerde düşük faiz ortamında bile bankalar kredileri artırmayabilmektedir. Çünkü döviz kuru oynaklığının yüksek olduğu dönemlerde bankalar belirsizlik altında risk almaktan kaçınmaktadırlar. Dolayısıyla banka kredileri kanalının daha etkili çalışması için para politikasının yanında makroekonomik finansal ve politik istikrarın da sağlanması gerekmektedir.

JEL Classification : E50 , E51 , E59

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APA

Buyun, B. (2024). Does Exchange Rate Volatility Affect the Bank Lending Channel?. Journal of Economic Policy Researches, 11(1), 51-61. https://doi.org/10.26650/JEPR1343548


AMA

Buyun B. Does Exchange Rate Volatility Affect the Bank Lending Channel?. Journal of Economic Policy Researches. 2024;11(1):51-61. https://doi.org/10.26650/JEPR1343548


ABNT

Buyun, B. Does Exchange Rate Volatility Affect the Bank Lending Channel?. Journal of Economic Policy Researches, [Publisher Location], v. 11, n. 1, p. 51-61, 2024.


Chicago: Author-Date Style

Buyun, Burak,. 2024. “Does Exchange Rate Volatility Affect the Bank Lending Channel?.” Journal of Economic Policy Researches 11, no. 1: 51-61. https://doi.org/10.26650/JEPR1343548


Chicago: Humanities Style

Buyun, Burak,. Does Exchange Rate Volatility Affect the Bank Lending Channel?.” Journal of Economic Policy Researches 11, no. 1 (Apr. 2024): 51-61. https://doi.org/10.26650/JEPR1343548


Harvard: Australian Style

Buyun, B 2024, 'Does Exchange Rate Volatility Affect the Bank Lending Channel?', Journal of Economic Policy Researches, vol. 11, no. 1, pp. 51-61, viewed 23 Apr. 2024, https://doi.org/10.26650/JEPR1343548


Harvard: Author-Date Style

Buyun, B. (2024) ‘Does Exchange Rate Volatility Affect the Bank Lending Channel?’, Journal of Economic Policy Researches, 11(1), pp. 51-61. https://doi.org/10.26650/JEPR1343548 (23 Apr. 2024).


MLA

Buyun, Burak,. Does Exchange Rate Volatility Affect the Bank Lending Channel?.” Journal of Economic Policy Researches, vol. 11, no. 1, 2024, pp. 51-61. [Database Container], https://doi.org/10.26650/JEPR1343548


Vancouver

Buyun B. Does Exchange Rate Volatility Affect the Bank Lending Channel?. Journal of Economic Policy Researches [Internet]. 23 Apr. 2024 [cited 23 Apr. 2024];11(1):51-61. Available from: https://doi.org/10.26650/JEPR1343548 doi: 10.26650/JEPR1343548


ISNAD

Buyun, Burak. Does Exchange Rate Volatility Affect the Bank Lending Channel?”. Journal of Economic Policy Researches 11/1 (Apr. 2024): 51-61. https://doi.org/10.26650/JEPR1343548



TIMELINE


Submitted15.08.2023
Accepted19.01.2024
Published Online16.02.2024

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