Explaining and forecasting bank loans. Good times and crisis

Grégory Levieuge

Working papers from Banque de France

Abstract: This paper aims to develop a parsimonious model to explain and forecast bank loans to non-financial companies during calm periods as well as in situations of financial turmoil. In doing so, we are led to gauge the marginal informational content of simple leading indicators, and to investigate potential non-linearity in credit dynamics. This framework is applied to the French context, over a period including financial, banking and sovereign debt crises. In accordance with firms and banks balance sheets effects, the growth rate of equity prices appears to be one of the most interesting leading indicator as well as a significant threshold variable for explaining regime switching. However, our results highlight the difficulties to accurately predict the right credit dynamics regimes. A simple VAR model finally performs better.

Keywords: Credit; Forecast; VECM; Threshold VAR; leading indicators. (search for similar items in EconPapers)
JEL-codes: C22 E47 E51 (search for similar items in EconPapers)
Pages: 47 pages
Date: 2015
New Economics Papers: this item is included in nep-for and nep-mac
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Related works:
Journal Article: Explaining and forecasting bank loans. Good times and crisis (2017)
Working Paper: Explaining and forecasting bank loans. Good times and crisis (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:bfr:banfra:566

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