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Credit Cyclicality in Chile: A Cross-Country Perspective

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Author Info
Ludvig Soderling
Abstract

This paper analyzes the determinants of credit cyclicality. It constructs a financial development index and studies whether it affects the amplitude of impulse responses to shocks to output, terms of trade, global liquidity, and global risk appetite. The paper uses both country-specific VARs for cross-country analyses and panel VARs to compare impulse responses between various country groupings. The study finds evidence that financial development-especially stronger creditor rights-can mitigate credit cyclicality, given that the response of credit to output or terms of trade shocks is stronger in countries with weaker financial systems.

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Paper provided by International Monetary Fund in its series IMF Working Papers with number 08/55.

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Length: 21 pages
Date of creation: 05 Mar 2008
Date of revision:
Handle: RePEc:imf:imfwpa:08/55

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Related research
Keywords: Credit ; Chile ; Liquidity ; Terms of trade ; Private sector ;

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References listed on IDEAS
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  1. Matías Braun & Borja Larrain, 2005. "Finance and the Business Cycle: International, Inter-Industry Evidence," Journal of Finance, American Finance Association, vol. 60(3), pages 1097-1128, 06. [Downloadable!] (restricted)
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  2. Love, Inessa & Zicchino, Lea, 2006. "Financial development and dynamic investment behavior: Evidence from panel VAR," The Quarterly Review of Economics and Finance, Elsevier, vol. 46(2), pages 190-210, May. [Downloadable!] (restricted)
  3. Kiyotaki, Nobuhiro & Moore, John, 1997. "Credit Cycles," Journal of Political Economy, University of Chicago Press, vol. 105(2), pages 211-48, April.
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  4. Alejandro Micco & Ugo Panizza, 2006. "Bank Ownership and Lending Behavior," Working Papers Central Bank of Chile 369, Central Bank of Chile. [Downloadable!]
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  5. Simeon Djankov & Caralee McLiesh & Andrei Shleifer, 2005. "Private Credit in 129 Countries," NBER Working Papers 11078, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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