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Credit cycle coherence in the eurozone: Was there a euro effect?

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  • Samarina, Anna
  • Zhang, Lu
  • Bezemer, Dirk

Abstract

This paper examines effects of the euro introduction on credit cycle coherence in the eurozone through six channels. We construct and describe credit cycles for total bank credit, household mortgages and non-financial business loans for 16 EMU economies over 1990–2015. Credit cycle coherence is measured by synchronicity of cycle movements and similarity of their amplitudes. We find that the effect of euro introduction runs through elimination of currency risk and higher capital flows, which decrease coherence of total credit and mortgage credit cycles, but increase coherence of business credit cycles. Falling interest rates contribute to the convergence of total and mortgage credit cycles. Financial deregulation and legal harmonization are associated with lower coherence of all credit cycles, while trade openness has the opposite impact. The findings impinge on monetary policy effectiveness in the eurozone, with implications for macroprudential policy.

Suggested Citation

  • Samarina, Anna & Zhang, Lu & Bezemer, Dirk, 2017. "Credit cycle coherence in the eurozone: Was there a euro effect?," Journal of International Money and Finance, Elsevier, vol. 77(C), pages 77-98.
  • Handle: RePEc:eee:jimfin:v:77:y:2017:i:c:p:77-98
    DOI: 10.1016/j.jimonfin.2017.07.002
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    3. Małgorzata Iwanicz-Drozdowska & Paola Bongini & Paweł Smaga & Bartosz Witkowski, 2019. "The role of banks in CESEE countries: exploring non-standard determinants of economic growth," Post-Communist Economies, Taylor & Francis Journals, vol. 31(3), pages 349-382, May.
    4. Simona Malovana & Josef Bajzik & Dominika Ehrenbergerova & Jan Janku, 2020. "A Prolonged Period of Low Interest Rates: Unintended Consequences," Research and Policy Notes 2020/02, Czech National Bank.
    5. Schüler, Yves S. & Hiebert, Paul P. & Peltonen, Tuomas A., 2020. "Financial cycles: Characterisation and real-time measurement," Journal of International Money and Finance, Elsevier, vol. 100(C).
    6. Alice, Albonico & Roberta, Cardani & Patrizio, Tirelli, 2017. "Debunking the Myth of Southern Profligacy. A DSGE Analysis of Business Cycles in the EMU’s Big Four," Working Papers 373, University of Milano-Bicocca, Department of Economics, revised Jan 2018.
    7. de Haan, Jakob & Jacobs, Jan P.A.M. & Zijm, Renske, 2024. "Coherence of output gaps in the euro area: The impact of the COVID-19 shock," European Journal of Political Economy, Elsevier, vol. 84(C).
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    9. Valentina Flamini & Pierluigi Bologna & Fabio Di Vittorio & Rasool Zandvakil, 2019. "Credit Cycle and Capital Buffers in Central America, Panama, and the Dominican Republic," IMF Working Papers 2019/039, International Monetary Fund.
    10. Sadaba, Barbara & Vujić, Sunčica & Maier, Sofia, 2024. "Characterizing the schooling cycle," Economic Modelling, Elsevier, vol. 132(C).
    11. Dmitrij Celov & Mariarosaria Comunale, 2022. "Business Cycles in the EU: A Comprehensive Comparison Across Methods," Advances in Econometrics, in: Essays in Honour of Fabio Canova, volume 44, pages 99-146, Emerald Group Publishing Limited.
    12. Mariarosaria Comunale, 2020. "New synchronicity indices between real and financial cycles: Is there any link to structural characteristics and recessions in European Union countries?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 25(4), pages 617-641, October.
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    More about this item

    Keywords

    Credit cycles; Synchronicity; Similarity; EMU;
    All these keywords.

    JEL classification:

    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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