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Loan loss provisioning, bank credit and the real economy
Citation
Pool, S and de Haan, L and Jacobs, JPAM, Loan loss provisioning, bank credit and the real economy, Journal of Macroeconomics, 45 pp. 124-136. ISSN 0164-0704 (2015) [Refereed Article]
Copyright Statement
Copyright 2015 Elsevier Inc. All rights reserved.
DOI: doi:10.1016/j.jmacro.2015.04.006
Abstract
This paper examines how credit risk affects bank lending and the business cycle. We estimate a panel Vector Autoregression model for an unbalanced sample of 12 OECD countries over the past two to three decades, consisting of the output gap, inflation, the short-term interest rate, bank lending, as well as loan loss provisioning by banks (as proxy for credit risk). Our main findings are that: (i) bank lending and loan loss provisioning are important drivers of business cycle fluctuations, (ii) loan loss provisioning decreases in relative terms as bank lending increases, and (iii) bank lending is primarily affected by output fluctuations.
Item Details
| Item Type: | Refereed Article |
|---|---|
| Keywords: | bank lending, business cycle, loan loss provisioning |
| Research Division: | Economics |
| Research Group: | Applied economics |
| Research Field: | Macroeconomics (incl. monetary and fiscal theory) |
| Objective Division: | Economic Framework |
| Objective Group: | Macroeconomics |
| Objective Field: | Fiscal policy |
| UTAS Author: | Jacobs, JPAM (Dr Jan Jacobs) |
| ID Code: | 118644 |
| Year Published: | 2015 |
| Web of Science® Times Cited: | 27 |
| Deposited By: | College Office - CoBE |
| Deposited On: | 2017-07-17 |
| Last Modified: | 2017-10-23 |
| Downloads: | 0 |
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