Effects of monetary and macroprudential policies on credit and real economy in lithuania /

This research examines the interplay between monetary and macro-prudential policies in Lithuania and their impacts on credit dynamics and the broader economy. Employing a Structural Vector Autoregression (SVAR) model, we analyze data from 2004Q3 to 2023Q4, including real GDP, HICP (Harmonized Index of Consumer Prices), household and firm credit, the monetary policy rate, and macro-prudential policy variables. The study differentiates between the announcement and enforcement phases of macro-prudential policies. Our findings uncover that monetary policy notably influences inflation and credit, demonstrating effective transmission mechanisms, while the economy is more responsive to the announcements of macro-prudential policies than to their enforcement. Additionally, household and firm credits exhibit distinct reactions to policy changes. Impulse response functions indicate that tightening macro-prudential policies reduce total credit, while positive shocks to the monetary policy rate enhance total credit. Forecast error variance decomposition underscores the interdependencies among inflation, interest rates, and credit markets, offering insights into the influences of these variables. This research underscores the critical need for transparent policy communication and a coordinated strategy that harnesses both monetary and macro-prudential measures to drive economic stability and growth.

Grantor dc:publisher

Institutional Repository of Vilnius University

Year dc:date

2024

Author dc:creator

• Ūksas, Simonas,

• macro-prudential policy, monetary policy, credit, sVAR, macroeconomics, time-series.

Statement dc:rights

• info:eu-repo/semantics/openAccess

Language dc:language

eng

Repository record dc:identifier

https://repository.vu.lt/VU:ELABAETD210640829&prefLang=en_US

OAI identifier oai:identifier

oai:vu.lt:elaba:210640829