The Non-Bank Credit Cycle

Esti Kemp, Rene van Stralen, Alexandros Vardoulakis and Peter Wierts
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Alexandros Vardoulakis: https://www.federalreserve.gov/econres/alexandros-vardoulakis.htm

No 2018-076, Finance and Economics Discussion Series from Board of Governors of the Federal Reserve System (U.S.)

Abstract: We investigate the cyclical properties of non-bank credit and its relevance for financial stability. We construct a measure of non-bank credit for a large sample of countries and find that its cyclical properties differ from those of bank credit. Non-bank credit cycles are highly correlated with bank credit cycles in some countries but not in others. Moreover, non-bank credit cycles are less synchronised than bank credit cycles across countries. Finally, non-bank credit cycles could act as a leading indicator for currency, but not for systemic banking, crises. The opposite is true for bank credit cycles. These findings highlight the value added of monitoring non-bank credit.

Keywords: credit cycles; Financial crisis; leading indicators; Non-bank credit (search for similar items in EconPapers)
JEL-codes: F34 G01 G23 (search for similar items in EconPapers)
Pages: 34 pages
Date: 2018-11-14
New Economics Papers: this item is included in nep-ban, nep-eec and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:fip:fedgfe:2018-76

DOI: 10.17016/FEDS.2018.076

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