Banking crises and nonlinear linkages between credit and output
AbstractThe paper employs a recently developed procedure, based on a bivariate Markov switching model, to analyze the asymmetric causality linkages between credit growth and output growth during banking crises. Using a sample of 103 banking crises, we find that neither credit nor output leads the other variable in calm and crisis periods, although there is evidence of instantaneous regime-interdependence between the banking and real sector during crises. The linear link between credit growth and output growth is also regime-dependent.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 5946.
Date of creation: 26 Nov 2007
Date of revision:
banking crises; credit growth; output growth; Markov switching model; causality;
Other versions of this item:
- Dobromił Serwa, 2012. "Banking crises and nonlinear linkages between credit and output," Applied Economics, Taylor & Francis Journals, vol. 44(8), pages 1025-1040, March.
- Dobromil Serwa, 2008. "Banking crises and nonlinear linkages between credit and output," Working Papers 30, Department of Applied Econometrics, Warsaw School of Economics.
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
- E51 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Money Supply; Credit; Money Multipliers
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
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