Financial shocks and credit cycles

0537872 - NHU-C 2021 RIV RU eng J - Článek v odborném periodiku
Mamonov, Mikhail - Pankova, V. A. - Akhmetov, R. R. - Pestova, Anna
Financial shocks and credit cycles.
Russian Journal of Money and Finance. Roč. 79, č. 4 (2020), s. 45-74. ISSN 0130-3090
Grant CEP: GA MŠMT(CZ) SVV260611
Institucionální podpora: Progres-Q24
Klíčová slova: credit supply shocks * monetary policy shocks * global financial cycle
Obor OECD: Applied Economics, Econometrics
Způsob publikování: Open access
https://rjmf.econs.online/upload/iblock/570/Financial-Shocks-and-Credit-Cycles.pdf

This paper compares the contribution of internal and external financial shocks to the formation of credit cycle phases using crosscountry quarterly data for 27 countries, including advanced and emerging economies, for the period from 1990 through 2019. To conduct comparative analysis, we apply IV Probit models of the credit cycle which take into account the relationship between the credit and business cycles the inertia of the cycles and the non-linearity of the transmission of internal and external financial shocks to the economy through the credit market. In our sample of countries, the transmission of shocks to credit cycle phases proves to be non-linear (a switching effect is observed depending on the time elapsed since the shocks occurred), with the economic effect of the external capital inflow shock being in absolute value twice as strong as that of the bank credit supply shock (on average for the current and subsequent quarters), in turn, the bank credit supply shock is twice as strong as the monetary policy shock. A counterfactual analysis of the role of financial shocks in the formation of the credit cycle in Russia indicates an increase in the effectiveness of the monetary authorities in terms of their ability to control the phases of the credit cycle and, accordingly, a relative decrease in the role of credit supply shocks, while the global financial cycle retains its dominance.
Trvalý link: http://hdl.handle.net/11104/0315702