Template-Type: ReDIF-Paper 1.0
Author-Name: C Bora Durdu 
Author-X-Name-First: C Bora
Author-X-Name-Last: Durdu 
Author-Name: Molin Zhong
Author-X-Name-First: Molin
Author-X-Name-Last: Zhong
Title: Understanding bank and non-bank credit cycles: a structural exploration
Abstract: We explore the structural drivers of bank and nonbank credit cycles using a medium-scale DSGE model with two types of financial intermediation. We posit economy-wide and sectoral disturbances in both macro and financial sectors. We estimate that sectoral shocks to the balance sheets of entrepreneurs are important for fluctuations in bank and nonbank credit growth at the business cycle frequency. Economy-wide entrepreneurial risk shocks gain predominance for explaining the lower frequency co-movement between the two series. Macro shocks play very little role in explaining financial cycles.
Length: 49 pages
Creation-Date: 2021-01
File-URL: https://www.bis.org/publ/work919.pdf
File-Format: Application/pdf
File-Function: Full PDF document
File-URL: https://www.bis.org/publ/work919.htm
File-Format: text/html
Number: 919
Keywords: emerging bond markets, credit risk, currency risk, Twin Ds, affine model
Classification-JEL: E3, E44, G01, G21
Handle: RePEc:bis:biswps:919