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Loan loss provisioning, bank credit and the real economy
journal contribution
posted on 2023-05-19, 07:40 authored by Pool, S, de Haan, L, Jacobs, JPAMThis 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.
History
Publication title
Journal of MacroeconomicsVolume
45Pagination
124-136ISSN
0164-0704Department/School
TSBEPublisher
Louisiana State Univ PrPlace of publication
Baton Rouge, USA, La, 70893Rights statement
?Copyright 2015 Elsevier Inc. All rights reserved.Repository Status
- Restricted