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Credit Cyclicality in Chile: A Cross-Country Analysis

  • Ludvig Söderling
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    This paper analyzes the determinants of credit cyclicality. It constructs a financial development index and studies whether it affects the amplitude of impulse responses to shocks to output, terms of trade, global liquidity, and global risk appetite. The paper uses both country-specific VARs for cross-country analyses and panel VARs to compare impulse responses between various country groupings. The study finds evidence that financial development-especially stronger creditor rights-can mitigate credit cyclicality, given that the response of credit to output or terms of trade shocks is stronger in countries with weaker financial systems.

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    Paper provided by International Monetary Fund in its series IMF Working Papers with number 08/55.

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    Length: 21
    Date of creation: 01 Mar 2008
    Date of revision:
    Handle: RePEc:imf:imfwpa:08/55
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    1. Djankov, Simeon & McLiesh, Caralee & Shleifer, Andrei, 2007. "Private credit in 129 countries," Journal of Financial Economics, Elsevier, vol. 84(2), pages 299-329, May.
    2. Matias Braun & Borja Larrain, 2004. "Finance and the Business Cycle: International, Inter-industry Evidence," Finance 0403001, EconWPA.
    3. Love, Inessa & Zicchino, Lea, 2006. "Financial development and dynamic investment behavior: Evidence from panel VAR," The Quarterly Review of Economics and Finance, Elsevier, vol. 46(2), pages 190-210, May.
    4. Arturo Galindo & Alejandro Micco, 2001. "Creditor Protection and Financial Cycles," Research Department Publications 4249, Inter-American Development Bank, Research Department.
    5. Alejandro Micco & Ugo Panizza, 2004. "Bank Ownership and Lending Behavior," Research Department Publications 4385, Inter-American Development Bank, Research Department.
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