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The Journal of Credit Risk, 2020
The Covid-19 health crisis has dramatically affected just about every aspect of the economy, including the transition from a record long benign credit cycle to a stressed one, with still uncertain dimensions. This paper seeks to assess the credit climate from just before the unexpected global health crisis catalyst to its immediate and extended impact.
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The Covid-19 health crisis has dramatically affected just about every aspect of the economy, including the transition from a record long benign credit cycle to a stressed one, with still uncertain dimensions. This paper seeks to assess the credit climate from just before the unexpected global health crisis catalyst to its immediate and extended impact.
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Credit Cycles, Credit Risk, and Prudential Regulation [PDF]
International Journal of Central Banking, 2005 This paper finds strong empirical support of a positive, although quite lagged, relationship between rapid credit growth and loan losses. Moreover, it contains empirical evidence of more lenient credit standards during boom periods, both in terms of screening of borrowers and in collateral requirements.
Gabriel Jiménez, Jesús Saurina
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A Behavioral Model of the Credit Cycle
SSRN Electronic Journal, 2018In a behavioral variant of a New Keynesian model, in which individuals use simple heuristic rules to forecast future inflation and output gap, if there are limits on the amount of debt that economic agents are allowed to bear, we observe occasionally severe downturns. Differences in beliefs combined with borrowing constraints tend to dampen expansions,
Annicchiarico Barbara +5 more
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The Economic Journal, 2014
Credit cycles have been a characteristic of advanced economies for over 100 years. On average, a sustained pick-up in the ratio of credit to GDP has been highly correlated with banking crises. The boom phases of the cycle are characterised by large deviations in credit from trend.
Aikman, David +2 more
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Credit cycles have been a characteristic of advanced economies for over 100 years. On average, a sustained pick-up in the ratio of credit to GDP has been highly correlated with banking crises. The boom phases of the cycle are characterised by large deviations in credit from trend.
Aikman, David +2 more
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Knightian Uncertainty and Credit Cycles
2017The Great Recession has been characterised by the two stylized facts: the buildup of leverage in the household sector in the period preceding the recession and a protracted economic recovery that followed. We attempt to explain these two facts as an information friction, whereby agents are uncertain about a new state of the economy following a ...
Gerba, Eddie, Żochowski, Dawid
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The synchronization of credit cycles
Journal of Banking & Finance, 2017Abstract This paper proposes a simple econometric procedure to test for the synchronization of credit cycles. Using a century of data for 14 advanced economies, we find that credit cycle synchronization dropped in the early 1920s from initially relatively high levels.
Barbara Meller, Norbert Metiu
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Equity, Credit and the Business Cycle
SSRN Electronic Journal, 2011Both domestic economies and financial markets are affected by cycles that are often represented through multi-state models such as Markov Switching models. This article discusses the performances associated to the government bond, the equity and the credit cases along the business cycle, using both an European and a US dataset over the 1987-2010 period.
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Bankruptcy Resolution and Credit Cycles
SSRN Electronic JournalWe study how the macroeconomic dynamics following credit cycles vary with business bankruptcy institutions. Using data on bankruptcy efficiency and business credit around the world, we document that business credit booms are followed by severe declines in output, investment, and consumption in environments with poorly functioning business bankruptcy ...
Kornejew, Martin +4 more
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SSRN Electronic Journal, 2018
Bank profitability leads the credit cycle. An increase in return on equity of the banking sector predicts rising credit-to-GDP ratios in a panel of 17 advanced economies spanning the years 1870 to 2015. However, increases in profitability also predict elevated crisis likelihood a few years later.
Björn Richter, Kaspar Zimmermann
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Bank profitability leads the credit cycle. An increase in return on equity of the banking sector predicts rising credit-to-GDP ratios in a panel of 17 advanced economies spanning the years 1870 to 2015. However, increases in profitability also predict elevated crisis likelihood a few years later.
Björn Richter, Kaspar Zimmermann
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CFA Institute Conference Proceedings Quarterly, 2007
The credit cycle is dormant, not dead. The structured credit markets have caused spreads to remain unusually tight, but credit fundamentals are sound: Corporate balance sheets are strong, and profits are on the rise. Therefore, the market is responding in rational, if unexpected, ways.
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The credit cycle is dormant, not dead. The structured credit markets have caused spreads to remain unusually tight, but credit fundamentals are sound: Corporate balance sheets are strong, and profits are on the rise. Therefore, the market is responding in rational, if unexpected, ways.
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