Credit Cycles, Credit Risk and Countercyclical Loan Provisions
In this paper we investigate the impact of rapid credit growth on ex ante credit risk. We present micro-econometric evidence of the positive relationship between rapid credit growth and deterioration in lending portfolios: Loans granted during boom periods have higher probability of default than those granted during periods of slow credit growth. In addition, given their importance for macroprudential policy, we evaluate the effectiveness of the implementation of the countercyclical loan provisions. We find a negative relationship between the amplitude of credit cycles and this kind of macroprudential tool.
|Date of creation:||05 Nov 2013|
|Date of revision:|
|Contact details of provider:|| |
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Yener Altunbas & Leonardo Gambacorta & David Marquï¿½s-Ibï¿½ï¿½ez, 2009.
"Bank risk and monetary policy,"
Temi di discussione (Economic working papers)
712, Bank of Italy, Economic Research and International Relations Area.
- Mark Carlson & Hui Shan & Missaka Warusawitharana, 2011.
"Capital ratios and bank lending: a matched bank approach,"
Finance and Economics Discussion Series
2011-34, Board of Governors of the Federal Reserve System (U.S.).
- Carlson, Mark & Shan, Hui & Warusawitharana, Missaka, 2013. "Capital ratios and bank lending: A matched bank approach," Journal of Financial Intermediation, Elsevier, vol. 22(4), pages 663-687.
- Martha López & Fernando Tenjo & Héctor Zárate, 2012.
"The Risk-Taking Channel in Colombia Revisited,"
Borradores de Economia
690, Banco de la Republica de Colombia.
- Kiyotaki, Nobuhiro & Moore, John, 1997.
Journal of Political Economy,
University of Chicago Press, vol. 105(2), pages 211-48, April.
- Ryo Kato, 2003. "Matlab code for Kiyotaki-Moore credit cycles," QM&RBC Codes 113, Quantitative Macroeconomics & Real Business Cycles.
- John Moore & Nobuhiro Kiyotaki, . "Credit Cycles," Discussion Papers 1995-5, Edinburgh School of Economics, University of Edinburgh.
- Nobuhiro Kiyotaki & John Moore, 1995. "Credit Cycles," NBER Working Papers 5083, National Bureau of Economic Research, Inc.
- Rajan, Raghuram G, 1994. "Why Bank Credit Policies Fluctuate: A Theory and Some Evidence," The Quarterly Journal of Economics, MIT Press, vol. 109(2), pages 399-441, May.
- Lucy White & Alan D. Morrison, 2002.
"Crises and Capital Requirements in Banking,"
OFRC Working Papers Series
2002fe05, Oxford Financial Research Centre.
- Mora, Nada & Logan, Andrew, 2010.
"Shocks to bank capital: evidence from UK banks at home and away,"
Bank of England working papers
387, Bank of England.
- Nada Mora & Andrew Logan, 2012. "Shocks to bank capital: evidence from UK banks at home and away," Applied Economics, Taylor & Francis Journals, vol. 44(9), pages 1103-1119, March.
- Ian Christensen & Ali Dib, 2008. "The Financial Accelerator in an Estimated New Keynesian Model," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 11(1), pages 155-178, January.
- Gambacorta, Leonardo & Mistrulli, Paolo Emilio, 2004. "Does bank capital affect lending behavior?," Journal of Financial Intermediation, Elsevier, vol. 13(4), pages 436-457, October.
- Piti Disyatat, 2010.
"The bank lending channel revisited,"
BIS Working Papers
297, Bank for International Settlements.
- Holmstrom, Bengt & Tirole, Jean, 1997.
"Financial Intermediation, Loanable Funds, and the Real Sector,"
The Quarterly Journal of Economics,
MIT Press, vol. 112(3), pages 663-91, August.
- Bengt Holmstrom & Jean Tirole, 1994. "Financial Intermediation, Loanable Funds and the Real Sector," Working papers 95-1, Massachusetts Institute of Technology (MIT), Department of Economics.
- Holmström, Bengt & Tirole, Jean, 1994. "Financial Intermediation, Loanable Funds and the Real Sector," IDEI Working Papers 40, Institut d'Économie Industrielle (IDEI), Toulouse.
- Delis, Manthos D & Kouretas, Georgios, 2010.
"Interest rates and bank risk-taking,"
20132, University Library of Munich, Germany.
- Gabriel Jiménez & Jesús Saurina, 2006. "Credit Cycles, Credit Risk, and Prudential Regulation," International Journal of Central Banking, International Journal of Central Banking, vol. 2(2), May.
- Leonardo Gambacorta, 2009. "Monetary policy and the risk-taking channel," BIS Quarterly Review, Bank for International Settlements, December.
- Martha López & Juan David Prada & Norberto Rodríguez, 2009. "Evidence for a Financial Accelerator in a Small Open Economy,and Implications for Monetary Policy," ENSAYOS SOBRE POLÍTICA ECONÓMICA, BANCO DE LA REPÚBLICA - ESPE.
When requesting a correction, please mention this item's handle: RePEc:col:000094:011092. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Clorith Angélica Bahos Olivera)
If references are entirely missing, you can add them using this form.