We develop a macroeconomic model in which commercial banks can offload risky loans onto a �shadow� banking sector and financial intermediaries trade in securitized assets. We analyze the responses of aggregate activity, credit supply and credit spreads to business cycle and financial...

This paper investigates asymmetric co-integration and causality effects between financial development and economic growth for South African data spanning over the period of 1992 to 2013. To this end, we make use of the momentum threshold autoregressive (MTAR) approach which allows for threshold...

In this paper we present an overview of theoretical and empirical contributions exploring the inter-linkages between financial factors and real economic activity. We first revisit the main theoretical approaches that allow financial frictions to be embedded into general equilibrium models, and...

This paper analyses the flow of credit in the UK economy in the years before and after the 2008 financial and economic crisis, with particular emphasis on the corporate sector and the SME segment. It carries out a comparative flow-of-funds analysis highlighting the parallelisms and differences...

This paper estimates the impact of variations in bank profit, bank capital and bank liquidity on the real economy, using a panel of 30 OECD countries. The results indicate that shocks to bank profits have a significant impact on GDP growth which lasts approximately two years. The effect is...

Anticipating the nonperforming loans dynamics on the basis of macroeconomic credit risk models is crucial for shaping adequate economic policy mix to prevent disorderly deleveraging in the banking system. The added value of this paper is twofold. First, we apply reputed conditional risk model...

This paper studies the impact of shocks to banks’ balance sheets on real economic activity. The sample consists of 18 OECD countries observed annually from 1979 to 2003. Using the Rajan–Zingales method, I find that industries that depend more heavily on external finance respond more strongly...

This paper examines the role of bank credit in modeling and forecasting business cycle fluctuations, and investigates the international transmission of US credit shocks, using a global vector autoregressive (GVAR) framework and associated country-specific error correction models. The paper...

The following study develops a dynamic credit risk model for the Georgian banking portfolio and investigates the effects that macroeconomic (systemic) factors have on credit risk. A SUR model is estimated for the Non-Performing Loan ratio in seven sectors as a function of a lagged dependent...