Credit Cycle and the Macroeconomy: Empirical Evidence from Korea

Jaehoon Hahn () and Ho-Seong Moon ()
Additional contact information
Jaehoon Hahn: School of Business, Yonsei University
Ho-Seong Moon: Systemic Risk Analysis Team, The Bank of Korea

Economic Analysis (Quarterly), 2016, vol. 22, issue 4, 76-108

Abstract: We estimate a common factor underlying the cyclical variation in default rates, i.e., the credit cycle factor, by using a structural approach to modeling default risk. We make use of loan data from individual banks and categories of non-bank financial institutions in Korea, and find that the estimated credit cycle factor shows economically plausible associations with various macroeconomic and financial market indicators, consistent with empirical evidence in the U.S. and European markets. Moreover, we find that the estimated credit cycle factor predicts macroeconomic and financial market conditions, such as the GDP growth rate, non-farm employment, and the amount of industrial loans.

Keywords: Credit cycle; Business cycle; Default; Bank loan; Forecasting (search for similar items in EconPapers)
JEL-codes: E32 G21 (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.bok.or.kr/ucms/cmmn/file/fileDown.do?m ... 00001019864&fileSn=1 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bok:journl:v:22:y:2016:i:4:p:76-108

Access Statistics for this article

Economic Analysis (Quarterly) is currently edited by Wook Sohn, Hwan-koo Kang and Jaerang Lee

More articles in Economic Analysis (Quarterly) from Economic Research Institute, Bank of Korea Contact information at EDIRC.
Bibliographic data for series maintained by Economic Research Institute ().