Banking Sector Concentration, Credit Supply Shocks and Aggregate Fluctuations
Simone Alfarano and
MPRA Paper from University Library of Munich, Germany
This paper studies whether the raise in concentration experienced by the Spanish banking sector has lead to the increase of bank-specific credit supply shocks contribution to aggregate credit supply. We decompose aggregate credit volatility and find that (i) the Spanish banking sector is granular, (ii) the direct effect of bank-specific shocks accounts for the overwhelming majority of the variation in aggregate volatility, contrary to the manufacturing sector, and (iii) the raise in concentration translated into an increase of bank-specific shocks contribution to aggregate volatility.
Keywords: Granular Residual; Idiosyncratic Shocks; Banking Sector; Manufacturing Sec- tor; Concentration; Aggregate Fluctuations (search for similar items in EconPapers)
JEL-codes: E44 G21 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ban, nep-cwa, nep-fdg and nep-mac
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:111972
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