Munich Personal RePEc Archive

Banking crises and nonlinear linkages between credit and output

Serwa, Dobromił (2007): Banking crises and nonlinear linkages between credit and output.

WarningThere is a more recent version of this item available.
[img]
Preview
PDF
MPRA_paper_6278.pdf

Download (160kB) | Preview

Abstract

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.

Available Versions of this Item

UB_LMU-Logo
MPRA is a RePEc service hosted by
the Munich University Library in Germany.