Banking sector concentration, credit shocks and aggregate fluctuations
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Títol
Banking sector concentration, credit shocks and aggregate fluctuationsData de publicació
2022-07-14Editor
ElsevierCita bibliogràfica
ALFARANO, Simone; BLANCO-ARROYO, Omar. Banking sector concentration, credit shocks and aggregate fluctuations. Economics Letters, 2022, vol. 218, p. 110709.Tipus de document
info:eu-repo/semantics/articleVersió
info:eu-repo/semantics/publishedVersionParaules clau / Matèries
Resum
This paper studies whether the raise in concentration experienced by the Spanish banking sector has lead to the increase of bank-specific credit shocks contribution to aggregate credit. We decompose aggregate credit ... [+]
This paper studies whether the raise in concentration experienced by the Spanish banking sector has lead to the increase of bank-specific credit shocks contribution to aggregate credit. We decompose aggregate credit volatility and find that (i) the Spanish banking sector is granular, (ii) the direct effect of bank-specific shocks accounts for the overwhelming majority of the variation in aggregate volatility, contrary to the manufacturing sector, and (iii) the raise in concentration translated into an increase of bank-specific shocks contribution to aggregate volatility. [-]
Publicat a
Economics Letters, Volume 218, September 2022Entitat finançadora
Generalitat Valenciana | Universitat Jaume I
Codi del projecte o subvenció
AICO/2021/005 | UJI-B2021-66
Drets d'accés
© 2022 The Author(s). Published by Elsevier B.V.
info:eu-repo/semantics/openAccess
info:eu-repo/semantics/openAccess
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