Financial shocks and credit cycles
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11640%2F20%3A00537872" target="_blank" >RIV/00216208:11640/20:00537872 - isvavai.cz</a>
Result on the web
<a href="https://rjmf.econs.online/upload/iblock/570/Financial-Shocks-and-Credit-Cycles.pdf" target="_blank" >https://rjmf.econs.online/upload/iblock/570/Financial-Shocks-and-Credit-Cycles.pdf</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.31477/rjmf.202004.45" target="_blank" >10.31477/rjmf.202004.45</a>
Alternative languages
Result language
angličtina
Original language name
Financial shocks and credit cycles
Original language description
This paper compares the contribution of internal and external financial shocks to the formation of credit cycle phases using crosscountry quarterly data for 27 countries, including advanced and emerging economies, for the period from 1990 through 2019. To conduct comparative analysis, we apply IV Probit models of the credit cycle which take into account the relationship between the credit and business cycles the inertia of the cycles and the non-linearity of the transmission of internal and external financial shocks to the economy through the credit market. In our sample of countries, the transmission of shocks to credit cycle phases proves to be non-linear (a switching effect is observed depending on the time elapsed since the shocks occurred), with the economic effect of the external capital inflow shock being in absolute value twice as strong as that of the bank credit supply shock (on average for the current and subsequent quarters), in turn, the bank credit supply shock is twice as strong as the monetary policy shock. A counterfactual analysis of the role of financial shocks in the formation of the credit cycle in Russia indicates an increase in the effectiveness of the monetary authorities in terms of their ability to control the phases of the credit cycle and, accordingly, a relative decrease in the role of credit supply shocks, while the global financial cycle retains its dominance.
Czech name
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Czech description
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Classification
Type
J<sub>ost</sub> - Miscellaneous article in a specialist periodical
CEP classification
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OECD FORD branch
50202 - Applied Economics, Econometrics
Result continuities
Project
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Continuities
S - Specificky vyzkum na vysokych skolach<br>I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace
Others
Publication year
2020
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Russian Journal of Money and Finance
ISSN
0130-3090
e-ISSN
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Volume of the periodical
79
Issue of the periodical within the volume
4
Country of publishing house
RU - RUSSIAN FEDERATION
Number of pages
30
Pages from-to
45-74
UT code for WoS article
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EID of the result in the Scopus database
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