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Banking crises and nonlinear linkages between credit and output

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  • Dobromil Serwa

    ()
    (Warsaw School of Economics, National Bank of Poland)

Abstract

The 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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File URL: http://kolegia.sgh.waw.pl/pl/KAE/struktura/IE/struktura/ZES/Documents/Working_Papers/aewp05-08.pdf
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Bibliographic Info

Paper provided by Department of Applied Econometrics, Warsaw School of Economics in its series Working Papers with number 30.

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Length: 23 pages
Date of creation: 25 Mar 2008
Date of revision:
Handle: RePEc:wse:wpaper:30

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Keywords: banking crises; credit growth; output growth; Markov switching model; causality;

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  1. Romain Rancière & Aaron Tornell & Frank Westermann, 2008. "Systemic Crises and Growth," The Quarterly Journal of Economics, MIT Press, vol. 123(1), pages 359-406, 02.
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Cited by:
  1. Stefano Puddu, 2013. "Real Sector and Banking System: Real and Feedback Effects. A Non-Linear VAR Approach," IRENE Working Papers 13-01, IRENE Institute of Economic Research.
  2. Michal Franta, 2013. "The Effect of Non-Linearity Between Credit Conditions and Economic Activity on Density Forecasts," Working Papers 2013/09, Czech National Bank, Research Department.
  3. Aizenman, Joshua & Noy, Ilan, 2013. "Macroeconomic adjustment and the history of crises in open economies," Journal of International Money and Finance, Elsevier, vol. 38(C), pages 41-58.
  4. Bazán, Walter, 2011. "No-linealidades y asimetrías en el crédito peruano," Working Papers 2011-015, Banco Central de Reserva del Perú.

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