6533b829fe1ef96bd12898a6

RESEARCH PRODUCT

Bank-specific shocks and aggregate leverage: Empirical evidence from a panel of developed countries

Yacoub SleibiFabrizio CasalinGiorgio FazioGiorgio Fazio

subject

Leverage (finance)ExploitMonetary economics[SHS]Humanities and Social SciencesPanel VARGranger causalityGranularity model0502 economics and businessBanking shocksEconomicsEndogeneityEmpirical evidence040101 forestryCredit-to-GDP gap050208 finance05 social sciences1. No poverty04 agricultural and veterinary sciences[SHS.ECO]Humanities and Social Sciences/Economics and FinanceBanking sector8. Economic growthGranger causality0401 agriculture forestry and fisheriesGeneral Economics Econometrics and FinanceDeveloped countryFinance

description

International audience; This paper investigates the link between shocks in the banking sector and aggregate leverage measured by the credit-to-GDP gap. Using a balanced panel of 15 countries for the period 1989–2016, we exploit the approach due to Gabaix (2011) and consider banking granular shocks as an indicator of banking distress. Using methods that account for potential endogeneity, we find that banking shocks Granger-cause aggregate leverage. In particular, banking shocks tend to increase the level of leverage and cause departures of the credit-to-GDP ratio from its long-term trend.

yearjournalcountryeditionlanguage
2020-08-01Journal of Financial Stability
https://doi.org/10.1016/j.jfs.2020.100743