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Pré-Publication, Document De Travail Année : 2011

On the link between credit procyclicality and bank competition

Vincent Bouvatier
Antonia Lopez Villavicencio
Valérie Mignon
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Résumé

This paper investigates the relationship between bank competition and credit procyclicality for 17 OECD countries on the 1986-2009 period. We account for heterogeneity among countries in terms of bank competition through the use of a hierarchical clustering methodology. We then estimate panel VAR models for the identified sub-groups of economies to investigate whether credit procyclicality is more important when the degree of bank competition is high. Our findings show that while credit significantly responds to shocks to GDP, the degree of bank competition is not essential in assessing the procyclicality of credit for OECD countries.
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Dates et versions

hal-04141018 , version 1 (26-06-2023)

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  • HAL Id : hal-04141018 , version 1

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Vincent Bouvatier, Antonia Lopez Villavicencio, Valérie Mignon. On the link between credit procyclicality and bank competition. 2011. ⟨hal-04141018⟩
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