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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
Author:Jacobs, JPAM (Dr Jan Jacobs)
ID Code:118644
Year Published:2015
Web of Science® Times Cited:2
Deposited By:Office of TSBE
Deposited On:2017-07-17
Last Modified:2017-10-23
Downloads:0

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