Short-run dynamics in bank credit : assessing nonlinearities in cyclicality
Bouvatier, Vincent (University of Paris Ouest)
Lopez Villavicencio, Antonia (University of Paris North)
Mignon, Valerie (University of Paris Ouest)

Data:	2014
Resum:	This paper explores whether the procyclicality of private credit changes during the business cycle. To this end, we rely on the estimation of smooth transition regression models for a sample of 17 OECD countries over the 1986-2010 period. Our findings show that credit procyclicality is nonlinear, depending on economic conditions. More specifically, credit is highly procyclical in extreme - booms and busts - regimes in Canada, the UK and the US, while procyclicality is less pronounced in one or both extreme regimes in Australia, Belgium, France, Finland, the Netherlands, Norway, and Spain. Our results also emphasize the importance of financial factors in explaining the short-run behavior of private credit.
Drets:	Aquest document està subjecte a una llicència d'ús Creative Commons. Es permet la reproducció total o parcial, la distribució, i la comunicació pública de l'obra, sempre que no sigui amb finalitats comercials, i sempre que es reconegui l'autoria de l'obra original. No es permet la creació d'obres derivades.
Llengua:	Anglès
Document:	Article ; recerca ; Versió publicada
Matèria:	Credit cycle ; Business cycle ; Nonlinearity ; Smooth transition regression models
Publicat a:	Economic modelling, Vol. 37 (2014) , p. 127-136, ISSN 1873-6122

DOI: 10.1016/j.econmod.2013.10.027

Postprint 33 p, 880.3 KB

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