Cross Country Heterogeneity of Procyclicality of Bank Loans: Evidence from OECD Countries Using the SURE Model

• Autorzy: Mateusz Pipień , Abhishek Anand
• Języki publikacji: EN

Abstrakty

EN

Procyclicality of credit supply, which refers to the simultaneous movement of credit issued to the non-financial sector alongside economic activity indicators, can create a destabilizing feedback loop between the banking system and the real economy. The impact of credit supply on the financial and real sectors may vary across different economies, and the interconnectedness between countries can magnify the effect. We conducted research examining procyclicality of loans provided by banks, analyzing data at the country level for 13 OECD countries for over 16 years (2005-2020). Our research findings indicate that the parameters measuring the procyclical effect are statistically insignificant when using the FE panel model. To showcase diversity of relationships under scrutiny across countries, we employed an OLS regression approach to estimate procyclicality for each country's loans. This approach assumes a lack of interconnectedness between economies. We then introduced the Seemingly Unrelated Regression Equations (SURE) framework to examine how interconnectedness among countries affects the strength of loan procyclicality. Our analysis reveals the existence of procyclicality in many countries, and utilizing the SURE model further reinforces the phenomenon. Moreover, we found that bank-specific variables are more significant as loan supply determinants than macroeconomic variables. (original abstract)

Słowa kluczowe

EN

Procyclicality; Risk management; Bank loans

PL

Procykliczność; Zarządzanie ryzykiem; Pożyczki bankowe

• Czasopismo: Journal of Banking and Financial Economics
• Rocznik: 2023
• Numer: nr 2(20)
• Strony: 93--110

Twórcy

autor

Mateusz Pipień

• Cracow University of Economics, Poland

autor

Abhishek Anand

• Cracow University of Economics, Poland

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Identyfikatory

DOI

10.7172/2353-6845.jbfe.2023.2.6