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The Riskiness of Credit Allocation and Financial Stability
Mr.Luis Brandao-MarquesQianying ChenClaudio RaddatzJérôme VandenbusschePeichu Xie
出版International Monetary Fund, 2019-09-27
主題Business & Economics / Money & Monetary PolicyBusiness & Economics / Economics / MacroeconomicsBusiness & Economics / Finance / Financial Risk Management
ISBN15135158539781513515854
URLhttp://books.google.com.hk/books?id=GH67DwAAQBAJ&hl=&source=gbs_api
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註釋We explore empirically how the time-varying allocation of credit across firms with heterogeneous credit quality matters for financial stability outcomes. Using firm-level data for 55 countries over 1991-2016, we show that the riskiness of credit allocation, captured by Greenwood and Hanson (2013)’s ISS indicator, helps predict downside risks to GDP growth and systemic banking crises, two to three years ahead. Our analysis indicates that the riskiness of credit allocation is both a measure of corporate vulnerability and of investor sentiment. Economic forecasters wrongly predict a positive association between the riskiness of credit allocation and future growth, suggesting a flawed expectations process.