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Credit volatility and productivity growth

100%
Brzozowski M.
Equilibrium. Quarterly Journal of Economics and Economic Policy
|
2018
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vol. 13
|
issue 2
215-232
EN
Research background: The issues of finance-growth nexus and financial instability have attracted considerable attention, but have been studied in isolation. This paper aims at filling this gap by providing insights into the implications of financial instability for long term productivity growth. Purpose of the article: This paper sheds light on the relationship between credit-to-GDP ratio volatility and the total factor productivity (TFP) growth rate. The impact of systemic banking crises and financial depth on productivity growth is also studied. Methods: The System GMM estimation of panel data for over 100 countries and spanning the period of 1970-2009 is used. The decomposition of credit-to-GDP ratio into trend and cyclical component is performed using the Hodrick-Prescott filter and a regression analysis with country-specific intercepts and slopes. The data on TFP comes from the Penn World Tables database. Findings & Value added: TFP growth is negatively affected by credit volatility, mainly in less technologically advanced countries, while financial depth exerts a negative influence on TFP growth in economies with superior technology. Systemic banking crises and the concomitant credit crunches have a negative impact on productivity growth, regardless of the level of technological development. Moreover, the level of human capital, patents and globalization fuel productivity growth. Macroeconomic instability, measured by the rate of inflation, hampers TFP growth.
2
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Financial crises and the perils for the world economy

88%
Zachariadis S.
Journal of Management and Financial Sciences
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2020
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issue 40
43-56
EN
In this paper, we wish to address the issue of financial crises. We focus on the causes and implications for the world economy and financial stability. For this reason, we attempt to identify the relative phenomena that encourage the emergence of financial crises. The amplification of the financial sector at the international level and the high degree of financial integration render the debate of financial crises solemnly significant. The world economy has become unstable and vulnerable to the emergence of unanticipated financial events. Such events are not simply limited to a large bank default but also to the inability of a multinational firm or an agent to validate their debts. Thus, we mainly emphasize the insights of Hyman Minsky into the global financial crisis, who suggested that the flaws of the current dominant financial status would eventually entail instability and probably lead to crises with contagion effects at the international level. Therefore, the aim of this paper is to indicate that the perils of financial crises for the global economy must be perceptible and considerable ex ante in order to be successfully confronted.
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Empirical Properties of the Credit and Equity Cycle within Almost Periodically Correlated Stochastic Processes - the Case of Poland, UK and USA

75%
Lenart Ł., Pipień M.
Central European Journal of Economic Modelling and Econometrics
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2015
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issue 3
4
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Własności empiryczne cyklu finansowego — analiza porównawcza Czech, Polski, Węgier, Wielkiej Brytanii i USA

75%
Lenart Ł., Pipień M.
Folia Oeconomica Cracoviensia
|
2015
|
vol. 56
81-113
EN
We discuss the notion of the financial cycle indicating its novelty within the research project of analysing the cyclical nature of fluctuations of economic systems. We focus on the observed series of credit and make formal statistical inference about the properties of the cycles in case of five countries, namely Czech Republic, Great Britain, Hungary, Poland and USA. The non-standard subsampling procedure and discrete spectral characteristics of almost periodically correlated time series are applied to make formal statistical inference about the cycle. We extract the cyclical component and confront empirical properties of the financial cycle for small open economy with those established so far in case of developed economies. This research is based partially on the results from Lenart and Pipień (2013a) and Lenart and Pipień (2015).
PL
Podjęte w opracowaniu zagadnienie cykliczności w systemie finansowym jest nową odsłoną klasycznych, bo rozważanych od ponad 160-ciu lat, badań nad cykliczną naturą zjawisk w ekonomii. Celem badań było wypracowanie metod wnioskowania statystycznego w celu określenia cech cyklu finansowego i w szczególności kredytowego. W pracy zaproponowano nieparametryczny test, umożliwiający wnioskowanie o statystycznie istotnych częstościach dyskretnego spektrum procesu opisującego cykliczne fluktuacje. Uzyskane rezultaty empiryczne pozwalają stwierdzić, że cechy cyklu kredytowego dla Polski mają charakter swoisty i znacznie różnią się od tych otrzymanych dla rozwiniętych gospodarek. Cykl kredytowy trwa w przypadku Polski około dekady i jest podobny do cyklu uzyskanego w przypadku Czech, trwającego 12 lat.
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