Credit supply conditions and business cycles: New evidence from bank lending survey data
Journal article
Authors | Apergis, Nicholas and Chatziantoniou, Ioannis |
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Abstract | In this study, we utilize an Autoregressive Distributed Lag (ARDL) model in order to investigate the impact of changing lending standards on aggregate economic activity, considering the period 2000-2017 and five major economies, that is, Canada, Germany, Japan, the UK, and the US. We capture lending conditions using bank lending survey data that help extract the credit-supply side of the shock and, thus, direct the focus onto loan supply-factors. The main findings document that shocks associated with changes in lending standards play a substantial role in determining changes in real economic activity within each country. It should also be noted that these results remain robust even when we consider a structural break in our data and investigate these effects separately for the period immediately after the outbreak of the Global Financial Crisis of 2007-09. Overall, the findings suggest that bank lending survey data provide important informational content and deepen our understanding regarding changes in real economic activity. On a final note, we provide further insights regarding the relationship of both price and non-price elements of bank lending, particularly considering the risk-taking channel of monetary policy. |
Keywords | Research Subject Categories::SOCIAL SCIENCES; Lending conditions, Bank lending surveys, Business cycles, ARDL model |
Year | 2020 |
Journal | Research in International Business and Finance |
Publisher | Elsevier |
Digital Object Identifier (DOI) | https://doi.org/10.1016/j.ribaf.2020.101332 |
Web address (URL) | http://hdl.handle.net/10545/625229 |
http://creativecommons.org/licenses/by-nc-nd/4.0/ | |
hdl:10545/625229 | |
Publication dates | 28 Sep 2020 |
Publication process dates | |
Deposited | 02 Oct 2020, 15:37 |
Accepted | 14 Sep 2020 |
Rights | Attribution-NonCommercial-NoDerivatives 4.0 International |
Contributors | University of Derby and University of Portsmouth |
File | File Access Level Open |
File | File Access Level Open |
File |
https://repository.derby.ac.uk/item/93qw8/credit-supply-conditions-and-business-cycles-new-evidence-from-bank-lending-survey-data
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