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학술연구/단체지원/교육 등 연구자 활동을 지속하도록 DBpia가 지원하고 있어요.
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This work empirically investigates how commercial banks' aggregate credit supply is associated with business cycle over different regimes of the Korean economy. Linear empirical models employed in most of previous studies are subject to a potential missapecification problem because it is well known that both real GDP and credit supply reveal different dynamic properties over different regimes. This work finds that credit supply has asymmetric effect on business cycle for expansion and contraction phases when the Smooth Transition Autoregressive Vector Error Correction Model (or STAR-VECM) is employed. Our empirical findings are as follows. Firstly, we find that credit supply has procyclical effect on real GDP in all phases. Secondly, the procyclical effects are significantly intensified especially in contractionary phases which indicates asymmetry of its effect. In sum, this result supports 'Credit Acceleration Hypothesis' of Bernanke et al. (1999). Lastly, we further find that real GDP has asymmetric effects on banks' credit supply with countercyclical effect on expansionary regimes.
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참고문헌 (24)
참고문헌 신청
Bernanke, B. / 1999 / Handbook of Macroeconomics :1341~1393
Bianchi, J. / 2011 / Overborrowing and Systemic Externalities in the Business Cycle / The American Economic Review 101(7):3400~3426
Bianchi, J / 2011 / Overborrowing, Financial Crises, and Macroprudential Policy
Brunnermeier, M. K. / 2009 / The Fundamental Principles of Financial Regulation
Engle, R.F / 1987 / Co-integration and Error Correction:Representation, Estimation, and Testing / Econometrica 55(1):251~276
Bianchi, J. / 2011 / Overborrowing and Systemic Externalities in the Business Cycle / The American Economic Review 101(7):3400~3426
Bianchi, J / 2011 / Overborrowing, Financial Crises, and Macroprudential Policy
Brunnermeier, M. K. / 2009 / The Fundamental Principles of Financial Regulation
Engle, R.F / 1987 / Co-integration and Error Correction:Representation, Estimation, and Testing / Econometrica 55(1):251~276
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