The evolution and heterogeneity of credit procyclicality in Central and Eastern Europe
comunitat-uji-handle:10234/9
comunitat-uji-handle2:10234/8643
comunitat-uji-handle3:10234/8644
comunitat-uji-handle4:
INVESTIGACIONMetadatos
Título
The evolution and heterogeneity of credit procyclicality in Central and Eastern EuropeFecha de publicación
2020-09-06Editor
John Wiley and Sons; WileyISSN
1076-9307Cita bibliográfica
CUESTAS, Juan Carlos; LUCOTTE, Yannick; REIGL, Nicolas. The evolution and heterogeneity of credit procyclicality in Central and Eastern Europe. International Journal of Finance & Economics, 2020.Tipo de documento
info:eu-repo/semantics/articleVersión de la editorial
https://onlinelibrary.wiley.com/doi/epdf/10.1002/ijfe.2183Versión
info:eu-repo/semantics/acceptedVersionPalabras clave / Materias
Resumen
This article presents empirical estimates of bank credit procyclicality for a sample of 11 Central and Eastern European countries (CEECs) for the period 2000Q1–2016Q4. In the first step, we estimate a traditional‐type ... [+]
This article presents empirical estimates of bank credit procyclicality for a sample of 11 Central and Eastern European countries (CEECs) for the period 2000Q1–2016Q4. In the first step, we estimate a traditional‐type panel vector autoregressive (VAR) model and analyse the evolution of credit procyclicality in the CEECs by comparing the impulse response functions for different business cycle periods. The results confirm the existence of credit procyclicality in the CEECs and show that procyclicality is higher during boom periods. Furthermore, we observe the heterogeneity of credit procyclicality in the different countries in our sample. To explain the cross‐country heterogeneity in credit procyclicality we construct an interacted panel VAR model and analyse whether bank‐level competition, proxied by the aggregate Lerner index, constitutes a driving force of credit procyclicality. Our findings indicate that bank competition affects credit procyclicality and explains the differences in credit dynamics across the CEECs. Specifically, we show that the reaction of credit to a gross domestic product shock is on average higher in a less competitive banking market. [-]
Derechos de acceso
© 2020 John Wiley & Sons Ltd
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info:eu-repo/semantics/openAccess
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info:eu-repo/semantics/openAccess
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