Banking crises and nonlinear linkages between credit and output

Dobromił Serwa ()

MPRA Paper from University Library of Munich, Germany

Abstract: The paper employs a recently developed procedure, based on a bivariate Markov switching model, to analyze the asymmetric causality linkages between credit growth and output growth during banking crises. Using a sample of 103 banking crises, we find that neither credit nor output leads the other variable in calm and crisis periods, although there is evidence of instantaneous regime-interdependence between the banking and real sector during crises. The linear link between credit growth and output growth is also regime-dependent.

Keywords: banking crises; credit growth; output growth; Markov switching model; causality (search for similar items in EconPapers)
JEL-codes: C12 E32 E51 G21 (search for similar items in EconPapers)
Date: 2007-11-26
New Economics Papers: this item is included in nep-mac
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Citations: View citations in EconPapers (1)

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https://mpra.ub.uni-muenchen.de/5946/1/MPRA_paper_5946.pdf original version (application/pdf)
https://mpra.ub.uni-muenchen.de/6278/1/MPRA_paper_6278.pdf revised version (application/pdf)
https://mpra.ub.uni-muenchen.de/7805/3/MPRA_paper_7805.pdf revised version (application/pdf)

Related works:
Journal Article: Banking crises and nonlinear linkages between credit and output (2012)
Working Paper: Banking crises and nonlinear linkages between credit and output (2008)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:5946

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