Publication: Interest rate channel of monetary transmission in the Euro area
Abstract
Bu makale, 2004-2022 dönemini kapsayan 20 Euro Bölgesi ülkesinden oluşan bir panel veri setini kullanarak reel uzun vadeli faiz oranlarının özel yatırım seviyeleri üzerindeki etkisini incelemektedir. Çalışma, olası içsellik, eşzamanlı belirleme yanlılığı ve ters nedensellik sorunlarını ele almak için sistem GMM tahmincisini kullanmaktadır. Bulgular, borçlanma oranındaki bir yüzde puanlık artışın özel yatırımları % 0.14 oranında azalttığını göstermektedir. Borçlanma oranı ile özel yatırım arasındaki ilişkinin farklı senaryolar altındaki etkisini değerlendirmek için çeşitli ekonometrik modeller kurgulanmıştır. Bulgular, enflasyon ve GSYH tahminlerinin, borçlanma oranının özel yatırım seviyeleri üzerindeki etkisini önemli ölçüde etkilediğini göstermektedir. Ayrıca, küresel ve lokal volatilite, borçlanma oranlarından bağımsız olarak özel yatırımlar üzerinde önemli etkiler göstermektedir. Çalışma ayrıca, GIIPS ülkeleri (Yunanistan, İrlanda, İtalya, Portekiz ve İspanya) ve karşılanmayan büyüme beklentilerinin özel yatırımlar üzerinde önemli ve olumsuz etkileri olduğunu ortaya koymaktadır.
This paper utilizes a panel dataset comprising 20 Euro Area countries spanning the period from 2004 to 2022 to examine the influence of real long-term interest rates on private investment levels. The study employs the system GMM estimator to account for potential issues of endogeneity, simultaneous determination bias, and reverse causality. The empirical findings suggest that a one-percentage-point increase in the bond yield leads to a decrease in private investments by 0.14 percent. To assess the impact of various scenarios on the relationship between the bond yield and private investment, several estimation models are conducted. The findings indicate that inflation and GDP forecasts significantly influence the impact of the bond yield on private investment levels. Additionally, measures related to market volatility both globally and locally exhibit significant impacts on private investments independently of the bond yields. Moreover, the study reveals that countries in the GIIPS group (Greece, Ireland, Italy, Portugal, and Spain) and unmet growth expectations have significant and negative effects on private investments.
This paper utilizes a panel dataset comprising 20 Euro Area countries spanning the period from 2004 to 2022 to examine the influence of real long-term interest rates on private investment levels. The study employs the system GMM estimator to account for potential issues of endogeneity, simultaneous determination bias, and reverse causality. The empirical findings suggest that a one-percentage-point increase in the bond yield leads to a decrease in private investments by 0.14 percent. To assess the impact of various scenarios on the relationship between the bond yield and private investment, several estimation models are conducted. The findings indicate that inflation and GDP forecasts significantly influence the impact of the bond yield on private investment levels. Additionally, measures related to market volatility both globally and locally exhibit significant impacts on private investments independently of the bond yields. Moreover, the study reveals that countries in the GIIPS group (Greece, Ireland, Italy, Portugal, and Spain) and unmet growth expectations have significant and negative effects on private investments.