Financial shocks and credit cycles

Kód výsledku v 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>

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

Financial shocks and credit cycles

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

Financial shocks and credit cycles

Popis výsledku anglicky

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.

Druh

J_ost - Ostatní články v recenzovaných periodicích

CEP obor

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OECD FORD obor

50202 - Applied Economics, Econometrics

Projekt

—

Návaznosti

S - Specificky vyzkum na vysokych skolach<br>I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2020

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Russian Journal of Money and Finance

ISSN

0130-3090

e-ISSN

—

Svazek periodika

79

Číslo periodika v rámci svazku

4

Stát vydavatele periodika

RU - Ruská federace

Počet stran výsledku

30

Strana od-do

45-74

Kód UT WoS článku

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EID výsledku v databázi Scopus

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