Understanding the credit cycle and business cycle dynamics in India

Seema Saini, Wasim Ahmad and Stelios Bekiros

International Review of Economics & Finance, 2021, vol. 76, issue C, 988-1006

Abstract: This study aims to understand the dynamics of credit and business cycle interactions at the aggregated and disaggregated (sectors and industries) levels in the Indian context. We explore both parametric and non-parametric time-series approach to date the major turning points and calculate the lead-lag measures. We also test for synchronizing credit and business cycles and finding that there is a procyclicality during the crisis period. However, the analysis at sectoral and industry levels exhibit asymmetry as some sectors exhibit countercyclically. The business cycle precedes the credit cycle at the aggregated and disaggregated levels. The repo rate, broad money, real exchange rate, and industrial output significantly explain India's business-credit dynamics.

Keywords: Credit cycle; Business cycle; Synchronization; Band-pass filter; Markov-switching model; Sectoral business cycle (search for similar items in EconPapers)
JEL-codes: E30 E32 G01 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1059056021001702
Full text for ScienceDirect subscribers only

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:eee:reveco:v:76:y:2021:i:c:p:988-1006

DOI: 10.1016/j.iref.2021.08.006

Access Statistics for this article

International Review of Economics & Finance is currently edited by H. Beladi and C. Chen

More articles in International Review of Economics & Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu ().