Does Credit Supply Accelerate Business Cycle Changes in Korea?: Some New Evidence by Incorporating Regime Changes

• 발행기관: 한국계량경제학회
• 저자명: Sei-Wan Kim Jinill Kim Jungsoo Park
• 간행물 정보: 『JOURNAL OF ECONOMIC THEORY AND ECONOMETRICS』Vol.31 No.2, 19~39쪽, 전체 21쪽
• 주제분류: 경제경영 > 경제학
• 파일형태: PDF
• 발행일자: 2020.06.30

영문 초록

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.

목차

1. INTRODUCTION

2. EMPIRICAL MODEL: SMOOTH TRANSITION AUTOREGRESSIVE VECTOR ERROR CORRECTION(STAR-VECM) MODEL

3. DATA AND EMPIRICAL RESULTS

4. FURTHER DISCUSSIONS ON THE REVERSE RELATION: REAL GDP’S EFFECT ON CREDIT SUPPLY

5. CONCLUSION

REFERENCES

키워드

Credit Supply Business Cycle Pro-Cyclicality VEC Model STAR Model