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Asymmetric effects of monetary policy on non-bank financial intermediation (NBFI) assets: a panel quantile regression approach

Mugabil Isayev (School of Business, ADA University, Baku, Azerbaijan)
Farid Irani (Final International University, Kyrenia, Cyprus)
Amirreza Attarzadeh (Rauf Denktas University, North Cyprus, Cyprus)

Journal of Economic Studies

ISSN: 0144-3585

Article publication date: 9 August 2023

Issue publication date: 8 April 2024




The purpose of this paper is to fill the momentous gap by explicitly investigating the asymmetric effects of monetary policy (MP) on non-bank financial intermediation (NBFI) assets.


The authors utilized panel data from 29 countries for the period of 2012–2020 and used the quantile regression estimation. In addition to simultaneous quantile regression (SQR), the authors also employ quantile regression with clustered data (Parente and Silva, 2016) and the generalized quantile regression (GQR) method (Powell, 2020).


The empirical results show a significant heterogeneous impact of MP. While there is a positive relationship between MP and NBFI assets (“waterbed effect”) at lower quantiles of NBFI assets, at middle and higher quantiles, MP has a negative impact on NBFI assets (“search for yield” effect). The authors further find that negative impact strengthens as the quantile levels of NBFI assets rise from mid to high. Findings also reveal that “procyclicality” (except higher quantile) and “institutional demand” hypotheses hold. However, regarding “regulatory arbitrage,” mixed results are observed indicating the impact of Basel III requirements.


Previous empirical studies have concentrated on either the Dynamic Stochastic General Equilibrium (DSGE) framework or conditional mean regression approaches and delivered mixed findings of the MP effects on NBFI. The current paper takes a step toward dealing with this issue by deploying quantile regression methodology, which shows the impact of MP on NBFI at different conditional distributions (quantiles) of NBFI assets instead of just NBFI's conditional mean distribution.



Isayev, M., Irani, F. and Attarzadeh, A. (2024), "Asymmetric effects of monetary policy on non-bank financial intermediation (NBFI) assets: a panel quantile regression approach", Journal of Economic Studies, Vol. 51 No. 3, pp. 631-648.



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