Credit supply conditions and business cycles: New evidence from bank lending survey data

Nicholas Apergis () and Ioannis Chatziantoniou

Research in International Business and Finance, 2021, vol. 55, issue C

Abstract: In this study, we utilize an Autoregressive Distributed Lag (ARDL) model in order to investigate the impact of changing lending standards on aggregate economic activity, considering the period 2000–2017 and five major economies, that is, Canada, Germany, Japan, the UK, and the US. We capture lending conditions using bank lending survey data that help extract the credit-supply side of the shock and, thus, direct the focus onto loan supply-factors. The main findings document that shocks associated with changes in lending standards play a substantial role in determining changes in real economic activity within each country. It should also be noted that these results remain robust even when we consider a structural break in our data and investigate these effects separately for the period immediately after the outbreak of the Global Financial Crisis of 2007−09. Overall, the findings suggest that bank lending survey data provide important informational content and deepen our understanding regarding changes in real economic activity. On a final note, we provide further insights regarding the relationship of both price and non-price elements of bank lending, particularly considering the risk-taking channel of monetary policy.

Keywords: Lending conditions; Bank lending surveys; Business cycles; ARDL model (search for similar items in EconPapers)
JEL-codes: C32 E32 E5 F44 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:55:y:2021:i:c:s0275531920309399

DOI: 10.1016/j.ribaf.2020.101332

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