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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://www.sgh.waw.pl/instytuty/zes/wp/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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Cited by:
  1. 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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