Banking sector concentration, credit shocks and aggregate fluctuations
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Title
Banking sector concentration, credit shocks and aggregate fluctuationsDate
2022-07-14Publisher
ElsevierBibliographic citation
ALFARANO, Simone; BLANCO-ARROYO, Omar. Banking sector concentration, credit shocks and aggregate fluctuations. Economics Letters, 2022, vol. 218, p. 110709.Type
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Abstract
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. [-]
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Economics Letters, Volume 218, September 2022Funder Name
Generalitat Valenciana | Universitat Jaume I
Project code
AICO/2021/005 | UJI-B2021-66
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© 2022 The Author(s). Published by Elsevier B.V.
info:eu-repo/semantics/openAccess
info:eu-repo/semantics/openAccess
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- ECO_Articles [694]