TY - CEPII
A1 - Vincent Bouvatier
A1 - Antonia Lopez-Villavicencio
A1 - Valérie Mignon
TI - On the Link Between Credit Procyclicality and Bank Competition
IS - 2010-25
T3 - Working Papers
KW - Credit cycle
KW - Economic cycle
KW - Bank competition
KW - Financial stability
KW - Panel VAR
N2 - This paper investigates the relationship between bank competition and credit procyclicality for 17 OECD countries on the 1986-2009 period. We account for heterogeneity among countries in terms of bank competition through the use of a hierarchical clustering methodology. We then estimate panel VAR models for the identified sub-groups of economies to investigate whether credit procyclicality is more important when the degree of bank competition is high. Our findings show that while credit significantly responds to shocks to GDP, the degree of bank competition is not essential in assessing the procyclicality of credit for OECD countries.
ER -