Does the banking sector structure matter for credit procyclicality?

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 clusteri...

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Detalles Bibliográficos
Autores: Lopez Villavicencio, Antonia, Bouvatier, Vincent, Mignon, Valerie
Tipo de recurso: artículo
Fecha de publicación:2012
País:España
Institución:Universitat Autònoma de Barcelona
Repositorio:Dipòsit Digital de Documents de la UAB
Idioma:inglés
OAI Identifier:oai:ddd.uab.cat:324216
Acceso en línea:https://ddd.uab.cat/record/324216
https://dx.doi.org/urn:doi:10.1016/j.econmod.2012.03.012
Access Level:acceso abierto
Palabra clave:Credit cycle
Economic cycle
Banking sector structure
Financial stability
Panel VAR
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spelling Does the banking sector structure matter for credit procyclicality?Lopez Villavicencio, AntoniaBouvatier, VincentMignon, ValerieCredit cycleEconomic cycleBanking sector structureFinancial stabilityPanel VARThe 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. 22012-01-0120122012-01-01Articlehttp://purl.org/coar/resource_type/c_6501VoRhttp://purl.org/coar/version/c_970fb48d4fbd8a85info:eu-repo/semantics/articleapplication/pdfhttps://ddd.uab.cat/record/324216https://dx.doi.org/urn:doi:10.1016/j.econmod.2012.03.012reponame:Dipòsit Digital de Documents de la UABinstname:Universitat Autònoma de BarcelonaInglésengopen accesshttp://purl.org/coar/access_right/c_abf2Aquest 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.https://creativecommons.org/licenses/by-nc-nd/4.0/info:eu-repo/semantics/openAccessoai:ddd.uab.cat:3242162026-06-06T12:50:31Z
dc.title.none.fl_str_mv Does the banking sector structure matter for credit procyclicality?
title Does the banking sector structure matter for credit procyclicality?
spellingShingle Does the banking sector structure matter for credit procyclicality?
Lopez Villavicencio, Antonia
Credit cycle
Economic cycle
Banking sector structure
Financial stability
Panel VAR
title_short Does the banking sector structure matter for credit procyclicality?
title_full Does the banking sector structure matter for credit procyclicality?
title_fullStr Does the banking sector structure matter for credit procyclicality?
title_full_unstemmed Does the banking sector structure matter for credit procyclicality?
title_sort Does the banking sector structure matter for credit procyclicality?
dc.creator.none.fl_str_mv Lopez Villavicencio, Antonia
Bouvatier, Vincent
Mignon, Valerie
author Lopez Villavicencio, Antonia
author_facet Lopez Villavicencio, Antonia
Bouvatier, Vincent
Mignon, Valerie
author_role author
author2 Bouvatier, Vincent
Mignon, Valerie
author2_role author
author
dc.subject.none.fl_str_mv Credit cycle
Economic cycle
Banking sector structure
Financial stability
Panel VAR
topic Credit cycle
Economic cycle
Banking sector structure
Financial stability
Panel VAR
description 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.
publishDate 2012
dc.date.none.fl_str_mv 2
2012-01-01
2012
2012-01-01
dc.type.none.fl_str_mv Article
http://purl.org/coar/resource_type/c_6501
VoR
http://purl.org/coar/version/c_970fb48d4fbd8a85
dc.type.openaire.fl_str_mv info:eu-repo/semantics/article
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dc.identifier.none.fl_str_mv https://ddd.uab.cat/record/324216
https://dx.doi.org/urn:doi:10.1016/j.econmod.2012.03.012
url https://ddd.uab.cat/record/324216
https://dx.doi.org/urn:doi:10.1016/j.econmod.2012.03.012
dc.language.none.fl_str_mv Inglés
eng
language_invalid_str_mv Inglés
language eng
dc.rights.none.fl_str_mv open access
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eu_rights_str_mv openAccess
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dc.source.none.fl_str_mv reponame:Dipòsit Digital de Documents de la UAB
instname:Universitat Autònoma de Barcelona
instname_str Universitat Autònoma de Barcelona
reponame_str Dipòsit Digital de Documents de la UAB
collection Dipòsit Digital de Documents de la UAB
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