Bank lending procyclicality and credit quality during financial crises

Caporale, Guglielmo Maria and Di Colli, Stefano and Lopez, Juan Sergio (2014) Bank lending procyclicality and credit quality during financial crises. Centre for International Capital Markets discussion papers, 2014 (01). pp. 1-37. ISSN 1749-3412

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Abstract

This paper analyses macroeconomic and financial determinants of bad loans applying a SVAR approach to investigate whether excessive loans granted during expansionary phases can explain the more than proportional increase in non-performing loans during contractionary periods. The results indicate that the effects of a permanent shock to bad loans on the excess of credit are significant and persistent for bad loans to firms, but not for bad loans to households or in the case of Cooperative Credit Banks, who adopt more efficient lending policies.

Item Type: Article
Uncontrolled Keywords: Centre for International Capital Markets discussion papers; CICM discussion papers; loan losses; macroeconomic determinants; Italian banking system; structural vector autoregression; structural VAR; SVAR
Subjects: 300 Social sciences > 330 Economics
Department: Guildhall School of Business and Law
Depositing User: Mary Burslem
Date Deposited: 16 Apr 2015 11:00
Last Modified: 17 Apr 2015 09:37
URI: http://repository.londonmet.ac.uk/id/eprint/362

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