View : 212 Download: 0

Does credit supply accelerate business cycle changes in Korea?: Some new evidence by incorporating regime changes

Title
Does credit supply accelerate business cycle changes in Korea?: Some new evidence by incorporating regime changes
Authors
Kim S.-W.Kim J.Park J.
Ewha Authors
김세완
SCOPUS Author ID
김세완scopus
Issue Date
2020
Journal Title
Journal of Economic Theory and Econometrics
ISSN
1229-2893JCR Link
Citation
Journal of Economic Theory and Econometrics vol. 31, no. 2, pp. 19 - 39
Keywords
Business CycleCredit SupplyPro-CyclicalitySTAR ModelVEC Model
Publisher
Korean Econometric Society
Indexed
SCOPUS scopus
Document Type
Article
Abstract
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. © 2020, Korean Econometric Society. All rights reserved.
Show the fulltext
Appears in Collections:
사회과학대학 > 경제학전공 > Journal papers
Files in This Item:
There are no files associated with this item.
Export
RIS (EndNote)
XLS (Excel)
XML


qrcode

Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.

BROWSE