What Drives Credit Growth in Emerging Asia?

Fei Han and Selim Elekdag

No 2012/043, IMF Working Papers from International Monetary Fund

Abstract: This paper seeks to uncover the main drivers of credit growth in emerging Asia using a multi-country structural vector autoregressive (SVAR) model. Taking a novel approach, we developed a two-block SVAR whereby shocks within blocks are identified using sign restrictions, whereas shocks across the blocks are identified using a recursive (block-) Cholesky structure. We find that domestic factors are more dominant than external factors in driving rapid credit growth in emerging Asia. This is particularly true for domestic monetary policy, which can play a pivotal role in terms of managing rapid credit growth in emerging Asia.

Keywords: WP; monetary policy; aggregate demand; rapid credit growth; credit booms; emerging Asia; SVAR; Bayesian estimation; sign restrictions; shock identification; credit growth; monetary policy shock; credit dynamics; EMAS monetary policy; credit boom; credit shock; EMAS credit variation; aggregate demand demand shock; Credit; Structural vector autoregression; Exchange rate flexibility; Credit booms; Short term interest rates; Asia and Pacific; Global; Europe (search for similar items in EconPapers)
Pages: 43
Date: 2012-02-01
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Citations: View citations in EconPapers (4)

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Journal Article: What drives credit growth in emerging Asia? (2015)
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