Banking crises and nonlinear linkages between credit and output
Dobromił Serwa ()
No 30, Working Papers from Department of Applied Econometrics, Warsaw School of Economics
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: E32 E51 G21 C12 (search for similar items in EconPapers)
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Journal Article: Banking crises and nonlinear linkages between credit and output (2012)
Working Paper: Banking crises and nonlinear linkages between credit and output (2007)
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