Bank-specific shocks and aggregate leverage: ...
Type de document :
Compte-rendu et recension critique d'ouvrage
Titre :
Bank-specific shocks and aggregate leverage: Empirical evidence from a panel of developed countries
Auteur(s) :
Sleibi, Yacoub [Auteur]
Casalin, Fabrizio [Auteur]
Lille économie management - UMR 9221 [LEM]
Fazio, Giorgio [Auteur]
Casalin, Fabrizio [Auteur]
Lille économie management - UMR 9221 [LEM]
Fazio, Giorgio [Auteur]
Titre de la revue :
Journal of Financial Stability
Pagination :
100743
Éditeur :
Elsevier
Date de publication :
2020-08
ISSN :
1572-3089
Mot(s)-clé(s) en anglais :
Banking shocks
Granularity model
Credit-to-GDP gap
Panel VAR
Granger causality
Granularity model
Credit-to-GDP gap
Panel VAR
Granger causality
Discipline(s) HAL :
Sciences de l'Homme et Société/Economies et finances
Résumé en anglais : [en]
This paper investigates the link between shocks in the banking sector and aggregate leverage measured by the credit-to-GDP gap. Using a balanced panel of 15 countries for the period 1989–2016, we exploit the approach due ...
Lire la suite >This paper investigates the link between shocks in the banking sector and aggregate leverage measured by the credit-to-GDP gap. Using a balanced panel of 15 countries for the period 1989–2016, we exploit the approach due to Gabaix (2011) and consider banking granular shocks as an indicator of banking distress. Using methods that account for potential endogeneity, we find that banking shocks Granger-cause aggregate leverage. In particular, banking shocks tend to increase the level of leverage and cause departures of the credit-to-GDP ratio from its long-term trend.Lire moins >
Lire la suite >This paper investigates the link between shocks in the banking sector and aggregate leverage measured by the credit-to-GDP gap. Using a balanced panel of 15 countries for the period 1989–2016, we exploit the approach due to Gabaix (2011) and consider banking granular shocks as an indicator of banking distress. Using methods that account for potential endogeneity, we find that banking shocks Granger-cause aggregate leverage. In particular, banking shocks tend to increase the level of leverage and cause departures of the credit-to-GDP ratio from its long-term trend.Lire moins >
Langue :
Anglais
Vulgarisation :
Non
Collections :
Source :