Serwa, Dobromił (2007): Banking crises and nonlinear linkages between credit and output.
Download (161kB) | Preview
The paper employs a recently developed procedure, based on a bivariate Markov switching model, to analyze the asymmetric causality linkages between credit growth and output growth during banking crises. Using a sample of 103 banking crises, we find that neither credit nor output leads the other variable in calm and crisis periods, although there is evidence of instantaneous regime-interdependence between the banking and real sector during crises. The linear link between credit growth and output growth is also regime-dependent.
|Item Type:||MPRA Paper|
|Original Title:||Banking crises and nonlinear linkages between credit and output|
|Keywords:||banking crises, credit growth, output growth, Markov switching model, causality|
|Subjects:||E - Macroeconomics and Monetary Economics > E3 - Prices, Business Fluctuations, and Cycles > E32 - Business Fluctuations; Cycles
E - Macroeconomics and Monetary Economics > E5 - Monetary Policy, Central Banking, and the Supply of Money and Credit > E51 - Money Supply; Credit; Money Multipliers
C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C12 - Hypothesis Testing: General
G - Financial Economics > G2 - Financial Institutions and Services > G21 - Banks; Depository Institutions; Micro Finance Institutions; Mortgages
|Depositing User:||Dobromił Serwa|
|Date Deposited:||26. Nov 2007 10:10|
|Last Modified:||25. Feb 2013 20:17|
Azariadis, Costas, Smith, Bruce, 1998. Financial Intermediation and Regime Switching in Business Cycles . American Economic Review 88 (3), 516-536 (June). Balke, Nathan S., 2000. Credit and Economic Activity: Credit Regimes and Nonlinear Propagation of Shocks. Review of Economics and Statistics 82 (2), 344-349 (May). Bernanke, Ben S., Gertler, Mark L., 1989, Agency Costs, Net Worth, and Business Fluctuations. American Economic Review 79 (1), 14-31 (March). Białkowski, Jędrzej, Bohl, Martin T., Serwa, Dobromił, 2006. Testing for financial spillovers in calm and turbulent periods. Quarterly Review of Economics and Finance 46 (3), 397-412 (July). Blinder, Alan S., 1987. Credit Rationing and Effective Supply Failures. Economic Journal 97 (386), 327-352 (June). Blinder, Alan S., Stiglitz, Joseph E., 1983. Money, Credit Constraints, and Economic Activity. American Economic Review 73 (2), 297-302 (May). Boyd, John H., Kwak, Sungkyu, Smith, Bruce, 2005. The Real Output Losses Associated with Modern Banking Crises. Journal of Money, Credit, and Banking 37 (6), 977-999 (December). Breunig, Robert, Najarian, Serinah, Pagan, Adrian, 2003. Specification Testing of Markov Switching Models. Oxford Bulletin of Economics and Statistics 65 (s1), 703-725 (December). Calza, Alessandro, Sousa, João, 2005. Output and Inflation Responses to Credit Shocks: Are There Threshold Effects in the Euro Area? Studies in Nonlinear Dynamics & Econometrics 10 (2), Article 3. Caprio, Gerard, Klingebiel, Daniela, 2003. Episodes of systemic and borderline financial crises. World Bank, Washington (January). Demirgüç-Kunt, Asli, Detragiache, Enrica, 1998. The determinants of banking crises: evidence from developing and developed countries. IMF Staff Papers 45, 81-109. Demirgüç-Kunt, Asli, Detragiache, Enrica, 2005. Cross-country empirical studies of systemic bank distress: a survey. National Institute Economic Review 192, 68-83 (April). Demirguc-Kunt, Asli, Detragiache, Enrica, Gupta, Poonam, 2006. Inside the crisis: An empirical analysis of banking systems in distress. Journal of International Money and Finance 25 (5), 702-718 (August). Edwards, Sebastian, Susmel, Raul, 2001. Volatility dependence and contagion in emerging equity markets. Journal of Development Economics 66 (2), 505-532 (December). Galbraith, John W, 1996. Credit Rationing and Threshold Effects in the Relation between Money and Output. Journal of Applied Econometrics 11(4), 419-29 (July-August). Granger, Clive W. J., 1980. Testing for causality: A personal viewpoint. Journal of Economic Dynamics and Control 2, 329-352. Hutchison, Michael M., Noy, Ilan, 2005. How Bad Are Twins? Output Costs of Currency and Banking Crises. Journal of Money, Credit and Banking 37 (4), 725-752 (August). Kaminsky, Graciela L., Reinhart, Carmen M., 1999. The Twin Crises: The Causes of Banking and Balance-Of-Payments Problems. American Economic Review 89 (3), 473-500 (June). McCallum, John, 1991. Credit Rationing and the Monetary Transmission Mechanism. American Economic Review 81 (4), 946-951 (September). Phillips, Kerk L., 1991. A Two-Country Model of Stochastic Output with Changes in Regime, Journal of International Economics 31 (1-2), 121-142 (August). Ramey, Garey, Ramey, Valerie A., 1995. Cross-Country Evidence on the Link Between Volatility and Growth. American Economic Review 85 (5), 1138-1151 (December). Ranciere, Romain, Tornell, Aaron, Westermann, Frank, 2007. Systemic Crises and Growth. Quarterly Journal of Economics, forthcoming. Ravn, Morten O. Sola, Martin, 1995. Stylized facts and regime changes: Are prices procyclical? Journal of Monetary Economics 36 (3), 497-526 (December). Sola, Martin, Spagnolo, Fabio, Spagnolo, Nicola, 2002. A test for volatility spillovers. Economics Letters 76 (1), 77-84 (June).
Available Versions of this Item
- Banking crises and nonlinear linkages between credit and output. (deposited 26. Nov 2007 10:10) [Currently Displayed]