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Banking Sector Concentration, Credit Supply Shocks and Aggregate Fluctuations

Simone Alfarano and Omar Blanco-Arroyo

MPRA Paper from University Library of Munich, Germany

Abstract: 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)
Date: 2022-02-12
New Economics Papers: this item is included in nep-ban, nep-cwa, nep-fdg and nep-mac
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