Document de travail 2011-2
On the link between credit procyclicality and bank competition
Vincent Bouvatier, Antonia Lopez Villavicencio et Valérie Mignon
Résumé :
This paper investigates the relationship between bank competition and credit procyclicality for 17 OECD countries on the 1986-2009 period. We account for heterogeneity among countries in terms of bank competition through the use of a hierarchical clustering methodology. We then estimate panel VAR models for the identified sub-groups of economies to investigate whether credit procyclicality is more important when the degree of bank competition is high. Our findings show that while credit significantly responds to shocks to GDP, the degree of bank competition is not essential in assessing the procyclicality of credit for OECD countries.
Classification JEL : C33 E32 E51 G21
Mots-clés : Credit cycle; economic cycle; bank competition; financial stability; panel VAR.
