信贷来源的风险与经济活动的下行风险（英）

The Riskiness of Credit Origins and Downside Risks to Economic Activity Prepared by Claudio Raddatz, Dulani Seneviratne, Jérôme Vandenbussche, Peichu Xie, and Yizhi Xu WP/24/72IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management 2024 MAR © 2024 International Monetary Fund WP/24/72 IMF Working Paper Monetary and Capital Markets Department The Riskiness of Credit Origins and Downside Risks to Economic Activity Prepared by Claudio Raddatz, Dulani Seneviratne, Jérôme Vandenbussche, Peichu Xie, and Yizhi Xu * Authorized for distribution by David Hofman March 2024 IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management. ABSTRACT: We construct a country-level indicator capturing the extent to which aggregate bank credit growth originates from banks with a relatively riskier profile, which we label the Riskiness of Credit Origins (RCO). Using bank-level data from 42 countries over more than two decades, we document that RCO variations over time are a feature of the credit cycle. RCO also robustly predicts downside risks to GDP growth even after controlling for aggregate bank credit growth and financial conditions, among other determinants. RCO’s explanatory power comes from its relationship with asset quality, investor and banking sector sentiment, as well as future banking sector resilience. Our findings underscore the importance of bank heterogeneity for theories of the credit cycle and financial stability policy. RECOMMENDED CITATION: Claudio Raddatz, Dulani Seneviratne, Jerome Vandenbussche, Peichu Xie, and Yizhi Xu, « The Riskiness of Credit Origins and Downside Risks to Economic Activity”, IMF Working Paper No. 24/72 (2024) JEL Classification Numbers: E44, E47, G01, G21, G28 Keywords: Private sector debt; credit growth; credit origin; credit cycle; bank soundness; credit risk; financial vulnerability; investor sentiment; financial stability Authors’ email addresses: clraddatz@fen.uchile.cl; dseneviratne@IMF.org; jvandenbussche@IMF.org; xiepeichu@gmail.com; yxu@IMF.org *Claudio Raddatz ( Universidad de Chile); Dulani Seneviratne, Jérôme Vandenbussche, and Yizhi Xu (International MonetaryFund); and Peichu Xie (Citadel LLC). WORKING PAPERS The Riskiness of Credit Origins and Downside Risks to Economic Activity Prepared by Claudio Raddatz, Dulani Seneviratne, Jérôme Vandenbussche, Peichu Xie, and Yizhi Xu1 1 The authors would like to thank Tobias Adrian as well as participants at a seminar at the IMF and the 2023 RIDGE conference on financial stability for comments, and Ken (Zhi) Gan and Diego Villalobos for excellent research assistance. IMF WORKING PAPERS The Riskiness of Credit Origins and Downside Risks to Economic Activity INTERNATIONAL MONETARY FUND 2 Contents Acronyms/Glossary ............................................................................................................................................ 3 I. Introduction .................................................................................................................................................. 4 II. Theoretical Underpinnings and Further Links to the Literature ........................................................... 6 III. Riskiness Of Credit Origins Measurement and Samples Construction .............................................. 8 IV. Riskiness Of Credit Origins and Downside Risks to Growth ............................................................. 13 V. Why Does RCO Predict Downside risks? Exploring the Channels .................................................... 15 VI. Conclusion .............................................................................................................................................. 20 References ......................................................................................................................................................... 22 IMF WORKING PAPERS The Riskiness of Credit Origins and Downside Risks to Economic Activity INTERNATIONAL MONETARY FUND 3 Acronyms/Glossary BLS ............ Bank Lending Standards CA .............. Current Account EDF ............ Expected Default Frequency FCI ............. Financial Conditions Index GDP ........... Gross Domestic Product GFC ............ Global Financial Crisis GUO ........... Global Ultimate Owner IFS .............. International Financial Statistics LLP ............. Loan Loss Provisions OLS ............. Ordinary Least Squares NPL ............. Nonperforming Loans RCA ............ Riskiness of Credit Allocation RCO ............