Monetary transmission in Poland: some evidence on interest rate and credit channels

Abstract

In the paper we show the macroeconomic effects of a monetary policy shock using both recursive and non-recursive SVAR decomposition. We find that the responsiveness of the CPI index and output in Poland is smaller and slower than in the euro zone. Using panel data we check how bank-specific characteristics affect operation of the lending channel. In contrast to the results for the euro area the degree of liquidity of an average bank seems not to work in a way predicted by the literature. Credit channel seems to operate rather through the degree of capitalisation and bank’s size. A plausible reason is the structural overliquidity of the banking sector. On the other hand, the pass-through from the market interest rates to the loan and deposit rates is in general not slower than in the euro zone.