Bank lending procyclicality and credit quality during financial crises

Guglielmo Maria Caporale, Stefano Di Colli and Juan Sergio Lopez

Economic Modelling, 2014, vol. 43, issue C, 142-157

Abstract: This paper analyses macroeconomic and financial determinants of bad loans applying a SVAR approach to investigate whether excessive loans granted during expansionary phases can explain the more than proportional increase in non-performing loans during contractionary periods. The results indicate that the effects of a permanent shock to bad loans on the excess of credit are significant and persistent for bad loans to firms, but not for bad loans to households or in the case of Cooperative Credit Banks, who adopt more efficient lending policies.

Keywords: Loan losses; Macroeconomic determinants; Italian banking system; SVAR (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (11)

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Working Paper: Bank Lending Procyclicality and Credit Quality during Financial Crises (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:43:y:2014:i:c:p:142-157

DOI: 10.1016/j.econmod.2014.07.031

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