Gross Credit Flows
Gross Credit Flows
复制标题
信贷流量总额
DOI：
10.1111/j.1467-937x.2005.00347.x
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发表时间：
2005
期刊：
影响因子：
--
通讯作者：
Pietro Garibaldi
中科院分区：
文献类型：
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作者：
Giovanni Dell'Ariccia;Pietro Garibaldi
本文估计了1979年至1999年美国银行体系的信贷总流量，并表明在周期的任何阶段都存在相当大的信贷总流量，即使是在狭义的贷款类别、银行规模类别和区域单位中。为了研究总信贷流量的宏观经济层面，本文研究了总信贷流量的周期性行为，并记录了三个关键的周期性事实。首先，过度的信贷再分配是反周期的：对于任何给定的净信贷变化率，总流动在衰退期都大于繁荣期。其次，信贷流动总额波动性很大，周期性波动似乎比国内生产总值波动大一个数量级以上。第三，信贷收缩的波动性大于信贷扩张。此外，1991年经济衰退期间总流动量的变化表明，持续和历史上最高的信贷收缩是相对温和的周期性衰退的一个关键特征。结果提供了一些支持，强调信贷扩张和信贷收缩的不对称行为的总模型。版权所有2005年，威利-布莱克威尔。
The paper estimates gross credit flows for the U.S. banking system between 1979 and 1999 and shows that sizable gross flows coexist at any phase of the cycle, even within narrowly defined loan categories, bank size categories, and regional units. To investigate the macroeconomic dimensions of gross credit flows, the paper studies the cyclical behaviour of aggregate credit flows and documents three key cyclical facts. First, excess credit reallocation is countercyclical: for any given rate of change of net credit, gross flows are larger in a recession than in a boom. Second, gross credit flows are highly volatile, with a cyclical volatility which appears more than an order of magnitude larger than GDP volatility. Third, credit contraction is more volatile than credit expansion. Furthermore, the behaviour of gross flows over the 1991 recession suggests that persistent and historically high credit contraction is a key feature of the relatively mild cyclical downturn. The results lend some support to aggregate models that emphasize the asymmetric behaviour of credit expansion and credit contractions. Copyright 2005, Wiley-Blackwell.