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Credit Cyclicality in Chile

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  • Ludvig Söderling
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    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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    Bibliographic Info

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

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    Length: 21
    Date of creation: 01 Mar 2008
    Date of revision:
    Handle: RePEc:imf:imfwpa:08/55

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    Related research

    Keywords: Liquidity; Terms of trade; terms of trade shocks; trade shocks; financial stability; competitive pressure; macroeconomic stability; inflation; monetary policy; output growth; external financing; exchange rate regime; political economy; external shocks;

    This paper has been announced in the following NEP Reports:

    References

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    1. Simeon Djankov & Caralee McLiesh & Andrei Shleifer, 2005. "Private Credit in 129 Countries," NBER Working Papers 11078, National Bureau of Economic Research, Inc.
    2. 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.
    3. 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.
    4. Arturo Galindo & Alejandro Micco, 2001. "Creditor Protection and Financial Cycles," Research Department Publications 4249, Inter-American Development Bank, Research Department.
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