The Effects of different types of credit growth in developing countries in comparison to developed countries

Download

index.pdf

Date

2019

Author

Uçar, Ezgi

Metadata

Show full item record

This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.

Item Usage Stats

95
views

40
downloads

This thesis aims to identify the relationship between credit booms and banking crises. Credit is disaggregated into credit to non-financial corporations and credit to households and non-profit institutions serving households. The analysis covers 10 developing and 10 developed countries between 1994 and 2017. Method of Mendoza and Terrones (2008) is followed in identification of booms. Signal extraction analysis is employed to identify the most appropriate smoothing parameter and threshold coefficient. 1600 is used as smoothing parameter and 1 is used as threshold coefficient. It is revealed that 60 percent of banking crises were preceded by corporate credit booms whereas 70 percent of banking crises were preceded by household credit booms. 29 percent of corporate credit booms and 34 percent of household credit booms were resulted with banking crises. 35 percent of household credit booms in developing countries and 33 percent of household credit booms in developed countries were resulted with crises. 29 percent of corporate credit booms in developing countries and developed countries ended up with crises. Therefore, banking crises occur more frequently around household credit booms. The probability of ending up with a crisis is higher for longer and larger booms. All of credit booms continuing for more than 5 years ended up with crises in the analysis. The average duration of household credit booms is higher. Credit booms which ended up with crises were accompanied by high inflation, high interest rates and currency appreciation in developing countries and accompanied by high current account deficits, other investment levels and currency appreciation in developed countries.

Subject Keywords

Consumer credit., Household Credit Booms, Corporate Credit Booms, Banking Crises, Signal Extraction.

URI

http://etd.lib.metu.edu.tr/upload/12623800/index.pdf
https://hdl.handle.net/11511/44436

Collections

Graduate School of Social Sciences, Thesis

Suggestions

OpenMETU
Core

On the single name CDS price under structural modeling GOKGOZ, I. H.; Uğur, Ömür; Okur, Y. Yolcu (2014-03-15) Regulators, banks and other market participants realized that true assessment of the credit risk is more critical and complex than their ex-ante appraisals after the US Credit Crunch. They have turned their attention to complex credit risk models and credit instruments such as credit derivatives. Credit default swap contracts (CDSs) are the most common credit derivatives used for speculation and hedging purposes in the credit markets. Thus, in this paper we fundamentally study the pricing of a single name C...
Does Credit Composition have Asymmetric Effects on Income Inequality? New Evidence from Panel Data Seven, Ünal; Kilinc, Dilara; Coskun, Yener (MDPI AG, 2018-9-25) This paper studied the effects of credit to private non-financial sectors on income inequality. In particular, we focused on the distinction between household and firm credits, and investigated whether these two types of credit had adverse effects on income inequality. Employing cross-section augmented cointegrating regressions and using balanced panel data for 30 developed and developing countries over the period from 1995 to 2013, we showed that firm credit reduced income inequality, whereas there was no ...
THE DETERMINANTS OF CREDIT CRUNCH IN TURKISH BANKING SECTOR: EVIDENCE FROM GRANULAR BANK-LEVEL DATA Şenol, Ahmet; Ercan, Hakan; Department of Economics (2021-6-29) Understanding pattern of the lending through macroeconomic indicators and financial fundamentals have an utmost significance to define and illustrate cycle of economic activity and supervision of financial stability. Both academicians and regulatory officials of countries widely involve the lending behaviors due to these factors in their works, globally. The studies conducting by central banks of advanced economies as well as emerging countries’ central banks, international regulatory and supervisory instit...
Global Risk Algılamasının Gelişmekte Olan Piyasalara Etkisi Türkiye Örneği Erk, Hacıhasanoğlu; Soytaş, Uğur (2009-01-01) This paper studies the impact of the intense volatility in world financial markets on the credit default risk spread for the 01.01.2007-31.12.2008 period in Turkey. We use the VIX index which is derived from the S-P 500 option prices to represent the volatility in world financial markets. We find permanent effect of changes in the volatility of interantional financial markets on Turkish credit default premium, İstanbul Stock Exchange (ISE), and the government bond markets. We also discover that the governme...
The Impact of Macro-Economic Drivers in Housing Markets: The US Cas Yılmaz, Bilgi; Yerlikaya Özkurt, Fatma; Kestel, Sevtap Ayşe (2021-08-01) This paper analyzes the effect of macro-economic, financial and commodity market indicators on housing markets. We compare the efficiency of the models generated by Generalized Linear Models (GLM) and Multivariate Adaptive Regression Splines (MARS) according to method free measures for estimating the housing market trend. These models are used for the first time to identify the influence of macro-economic indicators on housing markets and the estimation of the trend in housing markets to our best knowledge....

Citation Formats

E. Uçar, “The Effects of different types of credit growth in developing countries in comparison to developed countries,” Thesis (M.S.) -- Graduate School of Social Sciences. Economics., Middle East Technical University, 2019.