Business Cycle and Credit Cycle: New Evidence in Italy

2014 ◽  
Author(s):  
Vincenzo Chiorazzo ◽  
Vincenzo D'Apice ◽  
Pierluigi Morelli ◽  
Giovanni Walter Puopolo
Keyword(s):  
Business Cycle ◽  
Credit Cycle ◽  
New Evidence

scholarly journals TRI-CYCLES ANALYSIS ON BANK PERFORMANCE: PANEL VAR APPROACH

2017 ◽  
Vol 19 (4) ◽  
pp. 403-442 ◽  
Author(s):  
Denny Irawan ◽  
Febrio Kacaribu
Keyword(s):  
Business Cycle ◽  
Financial Risk ◽  
Balance Sheet ◽  
Banking System ◽  
Bank Performance ◽  
Panel Var ◽  
Vector Autoregressive ◽  
Dynamic Relationship ◽  
Credit Cycle ◽  
The Business Cycle

The previous financial crisis has revealed the importance of risk in the financial and business cycle within the economy. This paper examines relationship among three cycles in the economy, namely (i) business cycle macro risk, (ii) credit cycle and (iii) risk cycle, and their impacts toward individual bank performance. We examine the responses of individual bank credit cycle and risk cycle toward a shock in business cycle macro risk and its consequence to the bank performance. We use Indonesian data for period of 2005q1 to 2014q4. We use unbalanced panel data of individual banks’ balance sheet with Panel Vector Autoregressive approach based on GMM style estimation by implementing PVAR package developed by Abrigo and Love (2015). The result shows dynamic relationship between business cycle macro risk and financial risk cycles. The study also observes prominent role of risk cycles in driving bank performance. We also show the existence of financial accelerator phenomenon in Indonesian banking system, in which financial cycles precede the business cycle macro risk.

Research on the Credit Cycle and Business Cycle with a Focus on Ten States from Central, Eastern, and Southeastern Europe

2014 ◽  
Vol 50 (sup4) ◽  
pp. 63-77 ◽  
Author(s):  
Constantin-Marius Apostoaie ◽  
Stanislav Percic ◽  
Vasile Cocriş ◽  
Dan Chirleşan
Keyword(s):  
Business Cycle ◽  
Southeastern Europe ◽  
Credit Cycle ◽  
Central Eastern
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