Credit Aggregates, Countercyclical Buffer: stylised facts

Didier Faivre ()
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Didier Faivre: CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique

Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) from HAL

Abstract: The relationship between Credit to private sector, Growth and investment is in a first step evaluated empirically through Error Correction model (ECM), using Credit Level for various national economies. The more important results are the following: the quality of estimation results for the relationship between Investment (with a separate analysis for Business and Households) and Credit is much better than for the relationship between GDP and Credit and in most cases it's the Investment cycle that explains the Credit cycle. In addition, specific results for United States are given, replacing Credit Level data by Credit Flow data. In this case, both cycles drive each other for Business, whereas for Households, it's the investment cycle that drives the Credit cycle.

Keywords: Private Credit; Credit Cycle; Error Correction Model; Crédit au secteur privé; Cycle du crédit; Cointégration; Modèle à correction d'erreur (search for similar items in EconPapers)
Date: 2016-02
New Economics Papers: this item is included in nep-mac
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-01281933
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Published in 2016

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