Credit Cycles, Credit Risk and Countercyclical Loan Provisions

López, Martha; Tenjo, Fernando; Zárate-Solano, Héctor Manuel

doi:10.1016/s0120-4483(14)70024-7

Cited by 23 publications

(19 citation statements)

References 25 publications

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“…Figure 1 explains how the implementation of macro-prudential policies in mitigating procyclical credit growth will have systemic risk impacts. Procyclical credit behavior has the potential to cause systemic risk (Arnold et al, 2012;López et al, 2014;Bianchi et al, 2016). Implications of macro-prudential policy as a whole are still weak due to loan growth there is procyclical.…”

Section: Different Results Conducted Bymentioning

confidence: 99%

“…Research conducted by Arnold et al (2012); Shi et al (2014); Tomuleasa, (2015); Tovar et al (2012) explain the importance of macro-prudential policy in minimizing systemic risk in the financial system. Systemic risk may stem from a trend of financial cycles following the economic cycle, as well as with procyclical credit growth having potential as a systemic risk (Arnold et al, 2012;López, et al, 2014;Bianchi, et al, 2016). Research López et al (2014); Bianchi, et al (2016) provide an overview in mitigating systemic risk arising from the procyclical credit growth of an early warning system.…”

Section: Introductionmentioning

confidence: 99%

“…The use of the registry data to look specifically at macro-prudential policy weaknesses in mitigating the procyclical credit growth due to the macroeconomic conditions of a country or the conditions in the banking system or also the inappropriate implementation of macro-prudential policies. As a study by Gómez et al, (2017) and López et al, (2014) in evaluating the impact of macro-prudential instruments in affecting credit growth through resolving data.…”

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confidence: 99%

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Evaluation Of Macroprudential Policy On Credit Growth In Indonesia: Credit Registry Data Approach

Dana

2018

Etikonomi

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Macro-prudential policies have an essential role in mitigating the imbalances in the financial sector that stem from procyclical credit growth. This study aims to evaluate macro-prudential policy in mitigating risk on procyclical credit growth with a registry data approach. Structural Vector Autoregression (SVAR) analysis method is used to evaluate macro-prudential policy in influencing credit growth. The results show LTV instruments can reduce credit growth but not to procyclical mitigation. Dissimilar results in the implementation of CCB and GWM + LDR instruments are capable of procyclical credit mitigation. Policies that can be done by the central bank are the establishment of an early warning system in macro-prudential policy as well as strengthening of Countercyclical Buffer (CCB), Loan to Value (LTV) instruments and Minimum Reserve Requirement + Loan Funding Ratio (GWM + LFR) in capturing systemic risks from various sources which further strengthens the assessment and surveillance.DOI:10.15408/etk.v17i2.7324

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Section: Different Results Conducted Bymentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

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confidence: 99%

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Evaluation Of Macroprudential Policy On Credit Growth In Indonesia: Credit Registry Data Approach

Dana

2018

Etikonomi

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“…So far, some banks have met the requirements for being in a bad phase but have decided not to reduce their provisions. Looking at the impact of this macroprudential tool, López et al (2014) find a negative relationship between the amplitude of credit cycles and the provisioning scheme, while Gómez et al (2017) report that countercyclical provisions had a negative effect on credit growth.…”

Section: Features Of the Macroprudential Policy Framework In Colombiamentioning

confidence: 99%

The macroprudential policy framework in Colombia

Vargas-Herrera¹,

Cardozo-Ortiz²,

Murcia³

2017

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“…A careful review of the literature for Colombia reveals that there is only one document that evaluates the impact of a specic measure (i.e. countercyclical provisions) on credit cycles using credit registry data (López et al (2014)).…”

Section: Introductionmentioning

confidence: 99%

Evaluating the impact of macroprudential policies in Colombia's credit growth

Gómez-González¹,

Lizarazo-Cuellar²,

Mendoza-Gutiérrez³

et al. 2017

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Macroprudential tools have been used around the world as a mechanism to control potential risks and imbalances in the nancial sector. Colombia is a good example of a country that has employed dierent regulatory measures to manage systemic risks in the economy. The purpose of this paper is to evaluate the eectiveness of two policies employed in said country to increase the resilience of the system and to moderate exuberance in credit supply. The rst measure, the countercyclical reserve requirement, was implemented in 2007 to control excessive credit growth. The second tool corresponds to the dynamic provisioning scheme for commercial loans, whose objective was to consolidate a countercyclical buer through loan loss provision requirements. To perform this analysis a rich data set based on loan-by-loan information for Colombian banks during the period between 2006 and 2009 is used. A xed eects panel model is estimated using debtors', banks' and macroeconomic characteristics as control variables. In addition, a dierence in dierences estimation is performed to evaluate the impact of the aforementioned policies. Findings suggest that dynamic provisions and the countercyclical reserve requirement had a negative eect on credit growth, and that said eect diers conditioned on bank-specic characteristics. Results also suggest that the aggregate macroprudential policy stance in Colombia has worked as an eective stabilizer of credit cycles, with some preliminary evidence also pointing towards signicant eects in reducing bank risktaking. Moreover, evidence is found that macroprudential policies have worked as a complement of monetary policy, accompanying the stabilizing eects of changes in interest rates on credit growth. JEL classication: E58, G28, C23 from the Bank of Mexico for their valuable comments on a preliminary version of this paper. We would also like to thank the participants of the LACEA meeting in Santa Cruz and Banco de la Republica's research seminar for their comments.The opinions contained herein are the sole responsibility of the authors and do not reect those of Banco de la República or its Board of Governors. All errors and omissions remain our own.Director,

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Credit Cycles, Credit Risk and Countercyclical Loan Provisions

Cited by 23 publications

References 25 publications

Evaluation Of Macroprudential Policy On Credit Growth In Indonesia: Credit Registry Data Approach

Evaluation Of Macroprudential Policy On Credit Growth In Indonesia: Credit Registry Data Approach

The macroprudential policy framework in Colombia

Evaluating the impact of macroprudential policies in Colombia's credit growth

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