The credit cycle does exist

Mariusz Kapuściński ()
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Mariusz Kapuściński: Institute of Economics, Polish Academy of Sciences

Bank i Kredyt, 2025, vol. 56, issue 3, 361-380

Abstract: Pipień and Tymoczko (2024) make a unique contribution to the literature on the financial cycle, by extracting credit cycle positions at the bank level, rather than focusing on aggregate data. They interpret the results as indicating “a differentiation of credit cycles in individual banks”. Also, they suggest the credit cycle is driven mainly by one bank. In this study I use the same data – for banks operating in Poland – to reinterpret their results and arrive at the following conclusions. First, since – contrary to the dominant stream of the literature – Pipień and Tymoczko (2024) do not focus on medium-term frequencies, their bank-level credit cycle positions are dominated by the business cycle, rather than the financial cycle. Second, even using the same measure of the cycle, the common component for respective banks is substantial. Focusing on medium-term frequencies makes it account for 72% of variability. Third, I find the contributions of respective banks to the cycle to be more balanced.

Keywords: financial cycle; systemic risk; macroprudential policy; banks; micro data (search for similar items in EconPapers)
JEL-codes: E32 E69 G21 (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:nbp:nbpbik:v:56:y:2025:i:3:p:361-380

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