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Bank Lending Procyclicality and Credit Quality during Financial Crises

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  • Guglielmo Maria Caporale
  • Stefano Di Colli
  • Juan Sergio Lopez

Abstract

This paper analyses macroeconomic and financial determinants of bad loans applying a SVAR approach to investigate whether excessive loans granted during expansionary phases can explain the more than proportional increase in non-performing loans during contractionary periods. The results indicate that the effects of a permanent shock to bad loans on the excess of credit are significant and persistent for bad loans to firms, but not for bad loans to households or in the case of Cooperative Credit Banks, who adopt more efficient lending policies.

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File URL: http://www.diw.de/documents/publikationen/73/diw_01.c.423982.de/dp1309.pdf
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Bibliographic Info

Paper provided by DIW Berlin, German Institute for Economic Research in its series Discussion Papers of DIW Berlin with number 1309.

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Length: 35 p.
Date of creation: 2013
Date of revision:
Handle: RePEc:diw:diwwpp:dp1309

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Keywords: loan losses; macroeconomic determinants; Italian banking system; SVAR;

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