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Credit Cycle and the Macroeconomy: Empirical Evidence from Korea

한재훈|문호성
한국은행|2016.12|경제분석 (Economic Analysis)|제22권 제4호|pp. 76-108|DOI 10.23299/bokeri.2016.22.4.003

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키워드

부도Business cycle예측Bank loanForecastingDefault은행 대출신용사이클Credit cycle경기사이클
주제분류경제학

초록

We estimate a common factor underlying the cyclical variation in default rates, i.e., the credit cycle factor, by using a structural approach to modeling default risk. We make use of loan data from individual banks and categories of non-bank financial institutions in Korea, and find that the estimated credit cycle factor shows economically plausible associations with various macroeconomic and financial market indicators, consistent with empirical evidence in the U.S. and European markets. Moreover, we find that the estimated credit cycle factor predicts macroeconomic and financial market conditions, such as the GDP growth rate, non-farm employment, and the amount of industrial loans.

Abstract

We estimate a common factor underlying the cyclical variation in default rates, i.e., the credit cycle factor, by using a structural approach to modeling default risk. We make use of loan data from individual banks and categories of non-bank financial institutions in Korea, and find that the estimated credit cycle factor shows economically plausible associations with various macroeconomic and financial market indicators, consistent with empirical evidence in the U.S. and European markets. Moreover, we find that the estimated credit cycle factor predicts macroeconomic and financial market conditions, such as the GDP growth rate, non-farm employment, and the amount of industrial loans.

참고문헌 (50)

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