Does the banking sector structure matter for credit procyclicality?
Lopez Villavicencio, Antonia (University of Paris North)
Bouvatier, Vincent (University of Paris Ouest)
Mignon, Valerie (University of Paris Ouest)

Data:	2012
Resum:	The aim of this paper is to investigate whether the banking sector structure matters in explaining credit procyclicality for 17 OECD countries over the 1986-2010 period. To this end, we first provide a detailed classification of the banking system structure through the use of a hierarchical clustering methodology. Relying on the estimation of panel VAR models and accounting for potential heterogeneity between countries, we then propose a measure of credit procyclicality based on the impulse-response function of credit to a shock in GDP. Our findings show that while credit significantly responds to shocks in GDP, the structure of the banking sector is not a key factor in assessing the procyclicality of credit for OECD countries.
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 ; Economic cycle ; Banking sector structure ; Financial stability ; Panel VAR
Publicat a:	Economic modelling, Vol. 29, Num. 4 (2012) , p. 1035-1044, ISSN 1873-6122

DOI: 10.1016/j.econmod.2012.03.012

Postprint 23 p, 519.0 KB

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