Asymmetric effects of the business cycle on bank credit risk

作者：Marcucci Juri^*; Quagliariello Mario

来源：Journal of Banking & Finance, 2009, 33(9): 1624-1635.

DOI：10.1016/j.jbankfin.2009.03.010

• Credit risk
• Panel threshold regression models
• Regime-switching
• Default rate
• Business cycle
• Cyclicality
• Basel 2

Prior empirical research on the relation between credit risk and the business cycle has failed to properly investigate the presence of asymmetric effects. To fill this gap, we examine this relation both at the aggregate and the bank level exploiting a unique dataset on Italian banks' borrowers' default rates. We employ threshold regression models that allow to endogenously establish different regimes identified by the thresholds over/below which credit risk is more/less cyclical. We find that not only are the effects of the business cycle on credit risk more pronounced during downturns but cyclicality is also higher for those banks with riskier portfolios.

• 出版日期2009-9