On the link between credit procyclicality and bank competition
Vincent Bouvatier (),
Antonia López-Villavicencio and
Valérie Mignon ()
Authors registered in the RePEc Author Service: Antonia López Villavicencio ()
No 2011-2, EconomiX Working Papers from University of Paris Nanterre, EconomiX
This paper investigates the relationship between bank competition and credit procyclicality for 17 OECD countries on the 1986-2009 period. We account for heterogeneity among countries in terms of bank competition through the use of a hierarchical clustering methodology. We then estimate panel VAR models for the identified sub-groups of economies to investigate whether credit procyclicality is more important when the degree of bank competition is high. Our findings show that while credit significantly responds to shocks to GDP, the degree of bank competition is not essential in assessing the procyclicality of credit for OECD countries.
Keywords: Credit cycle; economic cycle; bank competition; financial stability; panel VAR. (search for similar items in EconPapers)
JEL-codes: C33 E32 E51 G21 (search for similar items in EconPapers)
Pages: 21 pages
New Economics Papers: this item is included in nep-ban, nep-cba, nep-com and nep-mic
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Working Paper: On the Link Between Credit Procyclicality and Bank Competition (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:drm:wpaper:2011-2
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