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Title: Asymmetries in responses of commercial banks in a transitional economy to countercyclical monetary policy: the case of Romania
Authors: Nguyen, Chu V.
Phan, Đình Khôi
Huỳnh, Việt Khải
Keywords: Asymmetry
Countercyclical monetary policy
Commercial banks’ lending rate
Central Bank’s discount rate
Commercial banks’ lending-Central Bank’s discount rate spread
ime lag, Romania
Issue Date: 2018
Series/Report no.: Journal of Eastern European and Central Asian Research;5 .- p. 1-13
Abstract: The empirical results of this study reveal the following interesting characteristics of the Romanian banking sector over the December 1993 through August 2017 period. First, the spread between the lending-Central Bank’s discount rates was stable and adjusted to its long-run threshold asymmetrically. Second, lending institutions respond faster to contractionary than expansionary countercyclical monetary policy actions. This empirical finding suggests that Romanian commercial banks exhibit predatory rate setting behavior, which is consistent with those of their counterparts in advanced and emerging economies. Third, lending institutions respond to countercyclical monetary policy and the Romanian Central Bank authority effectively utilizes monetary policy to manage the economy as evidenced by the short-run dynamic and long-run Granger-causality from the discount rate to the banks’ lending rate. With respect to the time lags of the Romanian monetary policy found within the banking sector, the empirical results suggest that it takes almost two years for the lending rate to adjust to a monetary policy action completely.
Appears in Collections:Tạp chí quốc tế

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