Aug 2026· Journal of Economic Analysis· 0 citations· 23 references
Abstract
Identifying credit supply shocks separately from demand shocks remains a central challenge in the empirical credit-channel literature, particularly in emerging economies. We use the Brazilian Central Bank's Quarterly Credit Conditions Survey (PTC), launched in 2011, which records the lending standards reported by financial institutions and provides a direct measure of credit-supply conditions independent of price. We embed this variable in a hierarchical Bayesian VAR estimated on quarterly data for 2011Q1–2025Q4. A tightening in lending standards is followed by a sustained contraction in non-earmarked credit, and standards account for about a quarter of credit’s forecast-error variance at the twelve-quarter horizon. Impulse responses, variance decomposition, and Granger tests point in the same direction. Surveys like the PTC provide an early indicator of credit supply conditions, with implications for the conduct of monetary policy in emerging economies.
This paper analyzes the credit-growth nexus by shifting the focus from aggregate leverage and credit stocks to new credit flows. Using quarterly data for 12 euro area countries over 2007–24, covering 96 percent of euro area GDP, the analysis shows a robust empirical association between newly granted bank credit and private final domestic demand (PFDD), a close proxy for GDP. A 10 percent increase in new private credit is associated with about 0.5–0.7 percentage points growth in PFDD. In contrast, specifications based on credit stocks or leverage produce unstable or counterintuitive estimates, reflecting measurement biases related to debt repayments and denominator effects. Nothwithstanding the importance of debt levels and leverage for financial stability and through debt service for the economy, the findings suggest that new credit flows appear to provide a more empirically reliable proxy for the macroeconomic role of bank lending.
This study investigates the determinants of credit growth in Western Balkan countries over the period 2011–2023, assessing whether lending dynamics are driven by macroeconomic fundamentals or financial sector conditions. The analysis focuses on key variables, including GDP growth, foreign direct investment (FDI), inflation, and lending interest rates. Using a balanced panel dataset, the study employs pooled Ordinary Least Squares (OLS), fixed and random effects models, and a two-way fixed effects specification with Driscoll–Kraay standard errors to address cross-sectional dependence and unobserved heterogeneity. The empirical results show that lending interest rates exert a statistically significant negative effect on credit growth, indicating that financial conditions play a central role in constraining lending activity. In contrast, GDP growth and inflation are not found to be significant determinants, challenging conventional macro-financial expectations. FDI becomes significant only when introduced in a lagged specification, suggesting a delayed transmission mechanism through which external capital inflows influence credit expansion. The study contributes to the literature by providing comparative multi-country evidence from structurally constrained and bank-dominated financial systems. The findings suggest that credit growth is driven less by traditional macroeconomic factors and more by financial sector conditions and institutional characteristics. These results have important policy implications, highlighting the need to strengthen financial intermediation efficiency and credit transmission mechanisms rather than relying solely on macroeconomic expansion to stimulate lending.
Erleta Halimi, Katalin Czakó, Arben Sahiti et al.· Emerging Science Journal· 0 citations
Abstract The Covid-19 pandemic introduced an unprecedented disruption in macroeconomic activity while credit continued to expand in several economies due to large policy interventions aimed at preserving financial intermediation. In Peru, this episode represented a clear deviation from the historical relationship between credit growth and economic activity. This paper studies the transmission of credit supply and credit demand shocks using a Bayesian structural VAR estimated with monthly macro-financial data from 2010 to 2024. To account for the extreme volatility observed during the pandemic, the identification combines sign and zero restrictions with information from higher-order moments and heteroskedasticity. The results indicate that, conditional on the maintained identifying assumptions, credit supply shocks are associated with stronger responses of economic activity during and after the pandemic than in the pre-pandemic period, while credit demand shocks display weaker and less persistent responses. These findings suggest that credit conditions became a more important driver of macroeconomic fluctuations during episodes of heightened uncertainty, although the framework does not separately identify policy-induced credit shocks.
Renzo Pardo, David Cortés, Pilar Soriano· Journal of Central Banking T...· 0 citations
This paper analyses the short-run dynamic relationship between monetary policy and banking market structure in Colombia during a period of post-pandemic inflation and aggressive policy tightening. Using monthly credit portfolio data for 2017–2024, we compute several concentration indicators (the Herfindahl–Hirschman Index (HHI), CRk ratios, and a dominance index) and employ three complementary identification strategies to evaluate the causal effect of monetary policy innovations on banking concentration. First, a structural VAR model identified through sign restrictions finds that contractionary shocks are associated with a short-run increase in banking concentration (median peak response: +0.60 HHI points at h = 3; 90% credible set: [+0.12, +1.16]), contrasting with the negative short-run response obtained under recursive reduced-form identification. Second, an extended VAR including credit portfolio growth as a mechanism variable confirms that contractionary shocks compress aggregate lending but do not generate robust, persistent changes in concentration. Third, local projections with regime-interaction terms formally test the nonlinear mechanisms discussed in the literature and find evidence of state-dependent transmission: the concentration response is larger in the low-inflation regime and attenuates during high-inflation episodes. All estimated effects are transitory and horizon-sensitive, reinforcing a cautious interpretation. The paper contributes new evidence from an emerging economy on the structural consequences of monetary policy and highlights the importance of identification assumptions in determining the direction of this effect.
Yoly Tatiana Polania Cerinza, Osval Armando Ibáñez-Díaz, H. Guerrero-Sierra et al.· Journal of Risk and Financia...· 0 citations
Investment credit plays an important role in financing productive activities and sustaining Indonesia's economic development. Nevertheless, limited empirical evidence is available regarding how fluctuations in gold prices together with other macroeconomic indicators influence investment credit during the post-pandemic period. This study investigates the effects of gold prices, the USD/IDR exchange rate, the Industrial Production Index (IPI), the BI 7-Day Reverse Repo Rate, and inflation on investment credit using monthly observations from June 2016 to December 2024. An Autoregressive Distributed Lag (ARDL) model combined with an Error Correction Model (ECM) is employed to evaluate both long-run associations and short-run adjustments. The empirical findings reveal that the variables are cointegrated, implying the existence of a stable long-term equilibrium. However, none of the estimated long-run coefficients is statistically distinguishable from zero at conventional significance levels. In the short run, exchange rate movements generate the largest response in investment credit, whereas industrial production and the policy interest rate produce relatively modest effects. The error-correction coefficient is negative and statistically significant, indicating that temporary departures from equilibrium are gradually eliminated over time. These findings suggest that investment credit in Indonesia is driven primarily by short-term macroeconomic adjustments rather than persistent long-run effects of individual macroeconomic variables.
N. Atikah, Nadia Kholifia, Lucky Tri Oktoviana et al.· CAUCHY· 0 citations
This paper examines how economic downturns and currency movements affect the quality of bank loans in Central, Eastern, and Southeastern Europe, using annual data for 14 national banking systems over 2008–2023. We estimate a bias-corrected dynamic fixed-effects model, verify inference with Driscoll–Kraay, cluster-robust, and wild cluster bootstrap procedures, run formal threshold tests, and conduct scenario simulations. Credit risk is highly persistent. The bias-corrected autoregressive coefficient of 0.944 implies a half-life of 12.0 years, although the bootstrap confidence interval of 0.601 to 1.048 does not rule out near-unit-root behavior. Exchange-rate depreciation predicts higher non-performing loan (NPL) ratios and survives both the strictest few-cluster test (p = 0.028) and a correction for euro-adoption breaks, while lower real GDP per capita growth is marginal under the same test (p = 0.060). Threshold tests that re-estimate the threshold in every bootstrap replication do not reject linearity in any of 14 configurations (minimum p-value of 0.071). Institutional quality does not measurably moderate the exchange-rate channel. A severe combined adverse scenario raises the projected NPL ratio from 6.54 to 12.32 percent over five years (90 percent interval: 8.2 to 24.6 percent). Together, the surviving channels and the disciplined null results delimit nonlinear transmission in emerging Europe.
Ivana Miklošević, Andreja Todorović, Andrija Popović· Journal of Risk and Financia...· 0 citations