Odnos između kreditne aktivnosti banaka i ekonomskog rasta: empirijsko istraživanje za Republiku Srbiju
Ključne reči:
kreditna aktivnost banaka, ekonomski rast, VAR model, uzročnost u smislu Grejndžera, Republika Srbija
Sažetak
Predmet istraživanja u ovom radu je interaktivni odnos kreditne aktivnosti banaka i ekonomskog rasta. S tim u vezi, cilj rada je da ispita postojanje i smer uzročno-posledične veze između kreditne aktivnosti bankarskog sektora i ukupne ekonomske aktivnosti u Republici Srbiji. Za potrebe istraživanja prikupljeni su kvartalni podaci koji se odnose na period 2003-2019. Kao indikatori kreditne aktivnosti, u studiji se koriste udeo kredita odobrenih preduzećima u GDP i udeo kredita odobrenih domaćinstvima u GDP, dok je stopa rasta realnog GDP opredeljena kao pokazatelj ekonomskog rasta. Budući da su posmatrane vremenske serije različitog reda integracije, analiza se sprovodi u okviru VAR modela, primenom Toda-Yamamoto procedure Grejndžerovog testa uzročnosti. Rezultati istraživanja pokazuju da postoji značajna jednosmerna uzročna veza u smislu Grejndžera koja ide iz pravca kreditne aktivnsti banaka ka ekonomskom rastu. Rezultati analize mogu biti posebno korisni nosiocima mera ekonomske politike, kao i kreatorima razvojnih strategija.
Reference
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Demetriades, P. O., & Hussein, K. A. (1996). Does Financial Development Cause Economic Growth? Time Series Evidence from 16 Countries. Journal of Development Economics, 51(2), 387–411. doi:10.1016/S0304-3878(96)00421-X
Dickey, D. A., & Fuller, W. A. (1981). Likelihood ratio statistics for autoregressive time series with a unit root. Econometrica, 49 (4), 1057–1072. doi:10.2307/1912517
Duican, E,R, & Pop, A. (2015). The implications of credit activity on economic growth in Romania. Procedia Economics and Finance, 30, 195 – 201. https://doi.org/10.1016/S2212-5671(15)01286-1
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Koivu, T. (2002). Do efficient banking sectors accelerate economic growth in transition economies?. Discussion Paper No 14. Bank of Finland, Institute for Economies in Transition.
Korkmaz, S. (2015). Impact of Bank Credits on Economic Growth and Inflation. Journal of Applied Finance & Banking, vol. 5, no. 1, pp. 57-69.
Lakštutienė A., & Barkauskaitė A. (2016). Evaluation of relationship between banks lending activities and the economies in Baltic countries. Copernican Journal of Finance & Accounting, 5(1), 141– 156. http://dx.doi.org/10.12775/CJFA.2016.008
Leitão, N.C. (2012). Bank Credit and Economic Growth: a Dynamic Panel Data Analysis, The Economic Researrch Guarrdian, vol. 2(2), pp. 256-267.
Levine, R. (1998).The Legal Environment, Banks, and Long-Run Economic Growth. Journal of Money, Credit, and Banking, 30(3), 596-613. DOI: 10.2307/2601259
Levine, R., & Zervos, S. (1998). Stock Markets, Banks, and Economic Growth. The American Economic Review, 88(3). 537-558. https://www.jstor.org/stable/116848?seq=1
Liang, Q., & Teng, J.Z. (2006). Financial Development And Economic Growth: Evidence From China, China Economic Review, 17(4) , 395-411. doi:10.1016/j.chieco.2005.09.003
Mehl, A., Vespro, C., & Winkler, A. (2005). The finance-growth nexus and financial sector environment: new evidence from Southeast Europe. Conference on European Economic Integration, Austrian National Bank, Vienna.
Mushtaq, S. (2016). Causality between bank’s major activities and economic growth: evidences from Pakistan. Financial Innovation 2, 7, doi:10.1186/s40854-016-0024-y
Ono, S. (2017). Financial development and economic growth nexus in Russia. Russian Journal of Economics, 3(3), 321-332. doi:10.1016/j.ruje.2017.09.006
Petkovski, M., & Kjosevski, J. (2014). Does banking sector development promote economic growth? An empirical analysis for selected countries in Central and South Eastern Europe. Economic Research-Ekonomska Istraživanja, 27:1, 55-66, DOI: 10.1080/1331677X.2014.947107
Ramanauskas, T. (2005). Assessment of Bank Credit Growth from Macroeconomic Perspective, Pinigų studijos, 2005/3, pp. 78-97.
Rambaldi, A. N., Doran, H. E. (1996). Testing for Granger Non-Causality in Cointegrated Systems Made Easy, Working Paper in Econometrics and Applied Statistics, 88, University of New England.
Rousseau, P.L., Wachtel, P. (2002). “Inflation thresholds and the finance–growth nexus”, Journal of International Money and Finance, 21, pp. 777-793.
Sims, C. (1980). Macroeconomics and Reality. Econometrica, 48, 1-48. doi:10.2307/1912017
Škare, M., Sinković, D., & Porada-Rochoń, M. (2019). Financial Development and Economic Growth in Poland 1990–2018. Technological and Economic Development of Economy, 25(2), 103-133. doi:10.3846/tede.2019.7925
Toda, H. Y., & Yamamoto, T. (1995). Statistical inferences in vector autoregressions with possibly integrated processes. Journal of Econometrics, 66(1-2), 225-250. doi:10.1016/0304-4076(94)01616-8
Zeqiraj, V., Hammoudeh, S., Iskenderoglu, O., & Kumar Tiwari, A. (2020). Banking sector performance and economic growth: evidence from Southeast European countries. Post-Communist Economies, 32(2), 267–284, DOI: 10.1080/14631377.2019.1640988
Awad, I.M., & Al Karaki, M.S. (2019). The impact of bank lending on Palestine economic growth: an econometric analysis of time series data. Financial Innovation 5, 14, doi:10.1186/s40854-019-0130-8
Beck, T., Buyukkarabacak, B., Rioja, F., & Valev, N. (2008). Who gets the credit ? and does it matter ? household vs. firm lending across countries (Policy Research Working Paper Series 4661). Washington, D.C.: World Bank.
Černohorský, J. (2017). Types of bank loans and their impact on economic development: a case study of the Czech Republic. E&M Ekonomie a Management, 20(4), 34-48. doi:10.15240/ tul/001/2017-4-003.
Calderón, C., & Liu, L. (2003). The Direction of Causality between Financial Development and Economic Growth. Working Paper No 184, Central Bank of Chile.
Cojocaru, L., Hoffman, S., & Miller, J. (2011). Financial Development and Economic Growth in Transition Economies: Empirical Evidence from the CEE and CIS Countries. Working Paper No 2011-22, Department of Economics, University of Delaware.
Demetriades, P. O., & Hussein, K. A. (1996). Does Financial Development Cause Economic Growth? Time Series Evidence from 16 Countries. Journal of Development Economics, 51(2), 387–411. doi:10.1016/S0304-3878(96)00421-X
Dickey, D. A., & Fuller, W. A. (1981). Likelihood ratio statistics for autoregressive time series with a unit root. Econometrica, 49 (4), 1057–1072. doi:10.2307/1912517
Duican, E,R, & Pop, A. (2015). The implications of credit activity on economic growth in Romania. Procedia Economics and Finance, 30, 195 – 201. https://doi.org/10.1016/S2212-5671(15)01286-1
Eggoh, J.C., & Villieu, P. (2014). A simple endogenous growth model of financial intermediation with multiplicity and indeterminacy. Economic Modelling, 38, 357-366. doi:10.1016/j.econmod.2014.01.017
Garcia-Escribano, M., & Han, F. (2015). Credit Expansion in Emerging Markets: Propeller of Growth?. IMF Working Paper 15/2012. Retrieved from https://www.imf.org/external/pubs/ft/wp/2015/wp15212.pdf
Gozgor, G. (2015). Causal relation between economic growth and domestic credit in the economic globalization: Evidence from the Hatemi-J’s test. The Journal of International Trade & Economic Development, vol. 24, no. 3, 395-408, DOI: 10.1080/09638199.2014.908325
Granger, C. W. J. (1969). Investigating Causal Relations by Econometric Models and Cross-spectral Methods. Econometrica, 37(3), 424-438. doi:10.2307/1912791
Grbic, M. (2016). Interaction between financial intermediation efficiency and economic growth. Economic Horizons, 18(3), 241–254. doi:10.5937/ekonhor1603247G
Gural, A., & Lomachynska, I. (2018). FDI AND FINANCIAL DEVELOPMENT AS DETERMINANTS OF ECONOMIC GROWTH FOR V4 COUNTRIES. Baltic Journal of Economic Studies. 3(4), 59-64. doi:10.30525/2256-0742/2017-3-4-59-64
Iqbal, M.Z., Ahmad, N., & Hussain, Z. (2012). Impact of Savings and Credit on Economic Growth in Pakistan, Pakistan Journal of Social Sciences (PJSS), vol. 32, no. 1, pp. 39- 48.
Iwanicz-Drozdowska, M., Bongini, P., Smaga, P., & Witkowski, B. (2019). The role of banks in CESEE countries: exploring non-standard determinants of economic growth, Post-Communist Economies, 31(3), 349-382, DOI: 10.1080/14631377.2018.1505694
Jedidia, K.B., Boujelbene, T., & Helali, K. (2014). Financial Development and Economic Growth: New Evidence from Tunisia. Journal of Policy Modeling, 36(5), 883–898. DOI:10.1016/j.jpolmod.2014.08.002
Jovičić, M., & Dragutinović Mitrović, R. (2011). Ekonometrijski metodi i modeli. Centar za izdavačku delatnost Ekonomskog fakulteta u Beogradu, Beograd.
Kabashi, R. & Suleva, K. (2016). Loan Supply Shocks in Macedonia: A Bayesian SVAR Approach with Sign Restrictions. Croatian Economic Survey, 18 (1), 5-33. https://doi.org/10.15179/ces.18.1.1
Kelly, R., McQuinn, K., & Stuart, R. (2013). Exploring the Steady-State Relationship between Credit and GDP for a Small Open Economy: the Case of Ireland. ECB Working Paper 1531, Frankfurt: European Central Bank. Retrieved from https://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp1531.pdf
King, R.G. & Levine, R. (1993a). Finance, Entrepreneurship, and Growth: Theory and Evidence. Journal of Monetary Economics, 32, 513-542.
King, R.G., & Levine, R. (1993b). Finance and Growth: Schumpeter Might Be Right. Quarterly Journal of Economics, 108(3), 717-737.
Koivu, T. (2002). Do efficient banking sectors accelerate economic growth in transition economies?. Discussion Paper No 14. Bank of Finland, Institute for Economies in Transition.
Korkmaz, S. (2015). Impact of Bank Credits on Economic Growth and Inflation. Journal of Applied Finance & Banking, vol. 5, no. 1, pp. 57-69.
Lakštutienė A., & Barkauskaitė A. (2016). Evaluation of relationship between banks lending activities and the economies in Baltic countries. Copernican Journal of Finance & Accounting, 5(1), 141– 156. http://dx.doi.org/10.12775/CJFA.2016.008
Leitão, N.C. (2012). Bank Credit and Economic Growth: a Dynamic Panel Data Analysis, The Economic Researrch Guarrdian, vol. 2(2), pp. 256-267.
Levine, R. (1998).The Legal Environment, Banks, and Long-Run Economic Growth. Journal of Money, Credit, and Banking, 30(3), 596-613. DOI: 10.2307/2601259
Levine, R., & Zervos, S. (1998). Stock Markets, Banks, and Economic Growth. The American Economic Review, 88(3). 537-558. https://www.jstor.org/stable/116848?seq=1
Liang, Q., & Teng, J.Z. (2006). Financial Development And Economic Growth: Evidence From China, China Economic Review, 17(4) , 395-411. doi:10.1016/j.chieco.2005.09.003
Mehl, A., Vespro, C., & Winkler, A. (2005). The finance-growth nexus and financial sector environment: new evidence from Southeast Europe. Conference on European Economic Integration, Austrian National Bank, Vienna.
Mushtaq, S. (2016). Causality between bank’s major activities and economic growth: evidences from Pakistan. Financial Innovation 2, 7, doi:10.1186/s40854-016-0024-y
Ono, S. (2017). Financial development and economic growth nexus in Russia. Russian Journal of Economics, 3(3), 321-332. doi:10.1016/j.ruje.2017.09.006
Petkovski, M., & Kjosevski, J. (2014). Does banking sector development promote economic growth? An empirical analysis for selected countries in Central and South Eastern Europe. Economic Research-Ekonomska Istraživanja, 27:1, 55-66, DOI: 10.1080/1331677X.2014.947107
Ramanauskas, T. (2005). Assessment of Bank Credit Growth from Macroeconomic Perspective, Pinigų studijos, 2005/3, pp. 78-97.
Rambaldi, A. N., Doran, H. E. (1996). Testing for Granger Non-Causality in Cointegrated Systems Made Easy, Working Paper in Econometrics and Applied Statistics, 88, University of New England.
Rousseau, P.L., Wachtel, P. (2002). “Inflation thresholds and the finance–growth nexus”, Journal of International Money and Finance, 21, pp. 777-793.
Sims, C. (1980). Macroeconomics and Reality. Econometrica, 48, 1-48. doi:10.2307/1912017
Škare, M., Sinković, D., & Porada-Rochoń, M. (2019). Financial Development and Economic Growth in Poland 1990–2018. Technological and Economic Development of Economy, 25(2), 103-133. doi:10.3846/tede.2019.7925
Toda, H. Y., & Yamamoto, T. (1995). Statistical inferences in vector autoregressions with possibly integrated processes. Journal of Econometrics, 66(1-2), 225-250. doi:10.1016/0304-4076(94)01616-8
Zeqiraj, V., Hammoudeh, S., Iskenderoglu, O., & Kumar Tiwari, A. (2020). Banking sector performance and economic growth: evidence from Southeast European countries. Post-Communist Economies, 32(2), 267–284, DOI: 10.1080/14631377.2019.1640988
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2020/10/19
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