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信贷来源的风险与经济活动的下行风险（英）

金融2024-03-01IMF测***

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The research paper titled "The Riskiness of Credit Origins and Downside Risks to Economic Activity" by Claudio Raddatz, Dulani Seneviratne, Jérôme Vandenbussche, Peichu Xie, and Yizhi Xu examines the role of bank heterogeneity in credit cycles and financial stability. The authors introduce a new measure called the Riskiness of Credit Origins (RCO) which captures the extent to which aggregate bank credit growth is sourced from banks with a relatively riskier profile.

The study uses bank-level data from 42 countries over a 20-year period. Key findings include:

Variability of RCO over Time: The authors document that changes in the RCO are a characteristic feature of the credit cycle. This variability is linked to the overall pace of credit growth and financial conditions.
Predictive Power: RCO is found to robustly forecast downside risks to GDP growth, even when controlling for other factors such as aggregate bank credit growth and financial conditions. This predictive capability is attributed to its connection with asset quality, investor sentiment, banking sector resilience, and future banking sector health.
Explaining Mechanisms: The authors delve into why RCO is effective in predicting economic downturns by exploring various channels through which it influences the economy. These include effects on asset quality, investor sentiment, and the overall health and resilience of the banking sector.

The paper underscores the importance of considering bank heterogeneity in theories of the credit cycle and financial stability policies. By highlighting the role of riskier banks in driving credit expansions, the research contributes to a better understanding of how financial instability can arise during economic booms and how it might be mitigated through policy interventions.

The methodology involves constructing the RCO index based on bank-level data, analyzing its movements alongside macroeconomic indicators, and conducting detailed bank-level analyses to uncover the underlying mechanisms. The findings are significant for policymakers, regulators, and financial analysts seeking to manage financial risks more effectively.

TheRiskinessofCreditOriginsandDownsideRiskstoEconomicActivity PreparedbyClaudioRaddatz,DulaniSeneviratne,JérômeVandenbussche,PeichuXie,andYizhiXu WP/24/72 IMFWorkingPapersdescriberesearchinprogressbytheauthor(s)andarepublishedtoelicitcommentsandtoencouragedebate.TheviewsexpressedinIMFWorkingPapersarethoseoftheauthor(s)anddonotnecessarilyrepresenttheviewsoftheIMF,itsExecutiveBoard,orIMFmanagement 2024 MAR ©2024InternationalMonetaryFundWP/24/72 IMFWorkingPaper MonetaryandCapitalMarketsDepartment TheRiskinessofCreditOriginsandDownsideRiskstoEconomicActivity PreparedbyClaudioRaddatz,DulaniSeneviratne,JérômeVandenbussche,PeichuXie,andYizhiXu* AuthorizedfordistributionbyDavidHofmanMarch2024 IMFWorkingPapersdescriberesearchinprogressbytheauthor(s)andarepublishedtoelicitcommentsandtoencouragedebate.TheviewsexpressedinIMFWorkingPapersarethoseoftheauthor(s)anddonotnecessarilyrepresenttheviewsoftheIMF,itsExecutiveBoard,orIMFmanagement. ABSTRACT:Weconstructacountry-levelindicatorcapturingtheextenttowhichaggregatebankcreditgrowthoriginatesfrombankswitharelativelyriskierprofile,whichwelabeltheRiskinessofCreditOrigins(RCO). Usingbank-leveldatafrom42countriesovermorethantwodecades,wedocumentthatRCOvariationsovertimeareafeatureofthecreditcycle.RCOalsorobustlypredictsdownsideriskstoGDPgrowthevenaftercontrollingforaggregatebankcreditgrowthandfinancialconditions,amongotherdeterminants.RCO’sexplanatorypowercomesfromitsrelationshipwithassetquality,investorandbankingsectorsentiment,aswellasfuturebankingsectorresilience.Ourfindingsunderscoretheimportanceofbankheterogeneityfortheoriesofthecreditcycleandfinancialstabilitypolicy. RECOMMENDEDCITATION:ClaudioRaddatz,DulaniSeneviratne,JeromeVandenbussche,PeichuXie,andYizhiXu,«TheRiskinessofCreditOriginsandDownsideRiskstoEconomicActivity”,IMFWorkingPaperNo.24/72(2024) JELClassificationNumbers: E44,E47,G01,G21,G28 Keywords: Privatesectordebt;creditgrowth;creditorigin;creditcycle;banksoundness;creditrisk;financialvulnerability;investorsentiment;financialstability Authors’emailaddresses: clraddatz@fen.uchile.cl;dseneviratne@IMF.org;jvandenbussche@IMF.org;xiepeichu@gmail.com;yxu@IMF.org *ClaudioRaddatz(UniversidaddeChile);DulaniSeneviratne,JérômeVandenbussche,andYizhiXu(InternationalMonetary WORKINGPAPERS TheRiskinessofCreditOriginsandDownsideRiskstoEconomicActivity PreparedbyClaudioRaddatz,DulaniSeneviratne,JérômeVandenbussche,PeichuXie,andYizhiXu1 1TheauthorswouldliketothankTobiasAdrianaswellasparticipantsataseminarattheIMFandthe2023RIDGEconference Contents Acronyms/Glossary3 I.Introduction4 II.TheoreticalUnderpinningsandFurtherLinkstotheLiterature6 III.RiskinessOfCreditOriginsMeasurementandSamplesConstruction8 IV.RiskinessOfCreditOriginsandDownsideRiskstoGrowth13 V.WhyDoesRCOPredictDownsiderisks?ExploringtheChannels15 VI.Conclusion20 References22 Acronyms/Glossary BLSBankLendingStandards CACurrentAccount EDFExpectedDefaultFrequency FCIFinancialConditionsIndex GDPGrossDomesticProduct GFCGlobalFinancialCrisis GUOGlobalUltimateOwner IFSInternationalFinancialStatistics LLPLoanLossProvisions OLSOrdinaryLeastSquares NPLNonperformingLoans RCARiskinessofCreditAllocation RCORiskinessofCreditOrigins I.Introduction Abundantempiricalevidencesupportstheviewthatperiodsoflargeaggregatecreditexpansionstendtobefollowedbyadversemacroeconomicoutcomesandtheoccurrenceoffinancialcrises(Jordaetal.2011,SchularickandTaylor2012,Mianetal.2018,amongothers),especiallywhenthecreditexpansiontakesplaceinanenvironmentofeasyfinancialconditionsandbuoyantcreditsentiment(KrishnamurthyandMuir2017,López-Salidoetal.2017,Kirti2021,Adrianetal.2022,Greenwoodetal.2022).However,existingcross-countryempiricalstudiesfocusonaggregatemeasuresofthevolumeandpriceofcreditandleaveasidetherolethatthecompositionofcreditoriginationandlenderheterogeneitymayplayinaggregaterisk-takingandfinancialstability. Anecdotalevidencesuggeststhatfasterbank-levelcreditgrowthduringaboomisassociatedwithworseperformanceduringtheensuingbustandthatthestrengthoffinancialinstitutionsdrivingtheexpansionmattersforfutureaggregateoutcomes.DuringtheGlobalFinancialCrisis(GFC),severaliconicfailureswerefinancialintermediariesthathadfollowedaveryaggressiveexpansionstrategy.IntheUnitedStates,CountrywideFinancialandWashingtonMutualbecamethefirstandthirdlargestmortgageoriginatorsoverashortperiodbeforethecrisis,lostbillionsonsubprimeexposures,andhadtoberesolvedin2008(UnitedStatesSenate,2010).Spanishsavingsbanks,whichwereattheepicenteroftheSpanishbankingcrisisadecadeago,hadexperiencedacontinuousriseintheirloanmarketshareintherun-uptothecrisis(Santos,2018).Anglo-IrishBank,theonlyIrishbanknationalizedduringtheIrishbankingcrisisof2008-2010,hadthefastestpre-crisiscreditgrowthamongmajorIrishbanks(ReglingandWatson,2010).Goingfurtherbackintime,duringthecreditboominFinlandandSwedenintheearly1990s,themostaggressivelendersweretheweakestincapitalizationandunderlyingprofitability(EnglundandVihriala,2010). Theoreticalmodelsoffinancialamplificationandfinancialcriseshavelongrecognizedth

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