对货币政策工具的冲击:尼日利亚私营部门信贷的反应是否与公共部门信贷类似?一种向量自回归方法

Nzeh Innocent Chile, B. Uzoechina, M. Eze, O. Nwamaka, Okoli Uju Victoria
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引用次数: 0

摘要

本文旨在研究私人和公共部门信贷对货币政策工具冲击的反应,以确定反应是否不同。本研究使用向量自回归(VAR)模型,每月数据覆盖2010年1月至2021年8月。研究结果表明,在所有时期,私营部门信贷对货币供应量和货币政策利率(MPR)的冲击均有积极反应。然而,从第五期开始,对现金准备金率(CRR)的反应为负,对外国利率冲击的反应也为负。另一方面,对政府的信贷被发现对第二个时期的货币供应量和CRR的冲击有积极的反应,但从第三个时期开始,它对MPR的反应是消极的。方差分解的结果表明,除了对自身的冲击(第一期为100%)外,对其他变量的冲击也会影响私营部门信贷。此外,除了对自身的冲击(第一期为99.89%)外,对其他变量的冲击导致对政府信贷的冲击。因此,我们建议,用于影响金融中介的政策应考虑到公共和私营部门对这些政策工具的敏感性,并在制定政策时考虑到外部冲击的影响。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Shocks to Monetary Policy Instruments: Does Credit to the Private Sector Respond in a Similar Manner to Public Sector Credit in Nigeria? A Vector Autoregressive Approach
This paper aims to investigate the response of private and public sector credit to shocks in monetary policy instruments with a view to ascertaining if the responses differ. The study utilized the vector autoregressive (VAR) model with monthly data covering the period from 2010M1 to 2021M8. Findings show that credit to private sector responds positively to shocks in money supply and monetary policy rate (MPR) in all periods. However, the response to cash reserve requirement (CRR) was negative beginning from period five, and it also responded negatively to foreign interest rate shock. On the other hand, credit to government was found to respond positively to shocks in money supply up to period two and CRR in all the periods, but it responded negatively to MPR starting from period three. The results of the variance decomposition show that other than shocks to itself, which was 100% in the first period, shocks to other variables influence private sector credit. Also, other than shocks to itself, which was 99.89% in the first period, shocks to other variables lead to shocks to credit to government. We therefore recommend that policies used to influence financial intermediation should factor in the sensitivity of both public and private sectors to these policy instruments and the impact of exogenous shocks should be factored into policy formulation.
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