柬埔寨信贷周期的外部驱动因素（英）

External Drivers ofCredit Cycles in Natasha Che SIP/2026/002 IMF Selected Issues Papers are prepared by IMF staff asbackground documentation for periodic consultationswith member countries.It is based on the information 2026JAN External Drivers of Credit Cycles in Cambodia Prepared by Natasha Che Authorized for distribution by Kenichiro Kashiwase IMF Selected Issues Papersare prepared by IMF staff as background documentation for periodicconsultations with member countries.It is based on the information available at the time it was ABSTRACT:This paper investigates the external drivers of Cambodia’s credit cycles using a dynamic factormodel. Results indicate that common global and regional factors explain over 60 percent of credit growthvariance, reflecting one of Asia’s highest sensitivities to external conditions. The analysis reveals that external RECOMMENDED CITATION:Che, N. (2025). External Drivers of Credit Cycles in Cambodia. In Cambodia:Selected IssuesPapersNo. 26/002. Washington, D.C.: International Monetary Fund. SELECTED ISSUES PAPERS External Drivers of Credit Cycles Cambodia Prepared by Natasha Che CAMBODIA SELECTED ISSUES November 5, 2025 ApprovedByAsia and Pacific PreparedbyNatasha Che. CONTENTS EXTERNAL DRIVERS OF CREDIT CYCLES IN CAMBODIA ____________________________________ 3A. Introduction ______________________________________________________________________________ 3B. Data and Methodology___________________________________________________________________ 4C. Results ___________________________________________________________________________________ 6D. Conclusion _______________________________________________________________________________ 9 EXTERNAL DRIVERS OF CREDIT CYCLES IN CAMBODIA Cambodia's credit cycles exhibit significant sensitivity to global financial conditions, with commonglobal and regional factors explaining around 60 percent of the country's credit growth variance—among the highest in Asia. Our analysis shows that Cambodia's response to external shocks, includingUS monetary policy, Chinese growth, and global risk sentiment, operates almost entirely through a A.Introduction 1.Cambodia's credit growth has experienced extraordinary volatility over the pastdecades.Private credit growth surged to over 25 percent annually for nearly two decades and sharplyfell to a log single-digit growth in 2024. The cyclescoincide remarkably with global events: the 2008-09global financial crisis brought sharp contraction,followed by a sustained boom from 2010-2019 that 2.Various explanations have been proposedfor the recent volatility, such as the unwinding ofleveraged positions and changes in Chinese capitalinflows. But given the complexity of these dynamics 3.Cambodia's economy remains highlydollarized, and its openness—with trade channels through which global financial conditions can transmit easily to domestic creditmarkets. This structural characteristic creates a landscape where banks can easily borrow from abroad and build up leverage in boom years. Subsequently, banks’ loan to deposit ratio reached 4.This annex aims to quantify the influence of external factors on Cambodia's creditcycles.Using a dynamic factor model applied to credit data from over 100 countries, we extract global and regional credit factors and measure Cambodia's sensitivity to these common dynamics.We then investigate whether external shocks—including changes in US and Chinese economic B.Data and Methodology 5.Our analysis draws on monthly credit-to-private-sector data for over 100 countriesfrom 2000 to 2024. The global dataset enables the extraction of common creditfactors. Cambodia's credit growthsubstantially exceeds both regional and 6.Cambodia’s high credit growthstems from a confluence of drivers. For much of the past two decades, the country has been a frontier economy undergoing rapid transformation, characterized by elevatedGDP growth and a notable reduction in poverty. This created strong underlying demand for capital.The supply side of the credit equation was equally robust, fueled by several unique factors. Highdollarization of the economy reduced currency risk, making it an attractive destination for foreign 7.For individual external drivers, we compile monthly indicators covering keytransmission channels: •Real economy indicators: US and China Purchasing Managers' Indices (PMI) from the Institute •Financial stress and risk sentiment: US high-yield corporate credit spreads from FRED •Monetary policy shocks: Orthogonalized US monetary policy surprises from the Federal Private credit and all external variables are transformed to year-over-year changes to ensurestationarity, except for monetary policy surprises which are inherently stationary. 8.Following Miranda-Agrippino and Rey (2020), we employ a state-space dynamic factormodel to extract common components from credit growth across countries. Miranda- Agrippino and Rey demonstrate that a single global fina