亚开行-全球金融危机后的信贷和增长动力偏差-2018.10-51页

报告摘要

Summary of "Skewed Credit and Growth Dynamics after the Global Financial Crisis"

Core Content

This working paper investigates the relationship between credit growth skewness and economic growth, particularly in the context of the global financial crisis (GFC). The authors extend the analysis of Ranciere, Tornell, and Westermann (2008) by including a broader dataset that encompasses both advanced and developing economies, as well as the post-GFC period.

Main Viewpoints

Credit Skewness and Growth: Earlier studies suggested a negative association between credit skewness and economic growth. However, this paper finds that the relationship is more nuanced, especially after the GFC.
Pre- and Post-GFC Differences: The beneficial effects of lower skewness (systemic financial risk) were observed only prior to 2000. After the GFC, this effect diminished, especially in advanced economies.
Nonlinear Effects: The relationship between credit skewness and growth is nonlinear. Both positive and negative skewness can have positive effects on growth, depending on the context.
Credit Busts and Deleveraging: Negative skewness is associated with credit busts and financial crises, but the effect of deleveraging on growth is also considered. The paper finds that credit stagnation leads to lower output growth compared to credit recessions, especially when skewness is positive.
Institutional Weakness and Risk-Taking: Systemic risk-taking in economies with weak institutions can mitigate financial bottlenecks and promote growth, even though it may occasionally lead to crises.

Key Information

Data Overview

The RTW sample (Ranciere, Tornell, and Westermann, 2008) includes 58 economies from 1960–2000, later expanded to 82 economies for the period 1971–2016.
Credit skewness is calculated as the distribution of real private credit growth over 10-year periods (except the last period, which is 6 years).
The dataset excludes economies that experienced severe war or large terms-of-trade deterioration.

Credit Skewness by Decade

1971–2000: Positive skewness was more common than negative skewness in both RTW and extended samples.
2001–2010: The GFC significantly increased the share of highly negative credit skewness.
2011–2016: Negative skewness became more prevalent in advanced economies than in developing economies, indicating a shift in credit dynamics.

Credit Skewness and Crises

Banking Crises: Periods with banking crises showed lower average credit skewness, with significant differences in mean skewness between crisis and non-crisis periods.
Currency Crises: No significant difference in mean skewness was observed between periods with and without currency crises.
Crises and Skewness: Crises are not always captured by negative skewness, and the relationship varies depending on the type of crisis and the dataset used.

Economic Growth Patterns

Negative Skewness: In the RTW sample (1971–2000), negative skewness was associated with higher GDP per capita growth.
Positive Skewness: Positive skewness was linked to lower growth in both advanced and developing economies.
Post-GFC Period: The growth benefits of negative skewness were less pronounced after the GFC, particularly in advanced economies.
Nonlinear Relationship: Moderately or highly negative skewness led to lower GDP per capita growth in OECD economies, while moderately or highly positive skewness showed mixed effects.

Methodology

The authors use panel data and various econometric techniques (Generalized Least Squares, Fixed Effects, Ordinary Least Squares) to analyze the relationship between credit skewness and growth.
They control for factors such as initial GDP per capita and initial schooling levels to account for growth convergence and human capital.

Conclusions

The relationship between credit skewness and growth is not robust across all periods and economies, especially after the GFC.
The benefits of lower skewness were mainly observed before 2000, suggesting that financial development and risk-taking had a different impact in the pre- and post-GFC eras.
Deleveraging and credit stagnation are important factors that affect growth dynamics, with credit stagnation being more detrimental than credit recessions in the presence of positive skewness.

Figures and Tables

Table 1: Shows the shares of observations with positive and negative credit skewness in the RTW and extended samples.
Table 2: Compares average GDP per capita growth during periods of negative and positive credit skewness.
Figure 1: Illustrates the average credit skewness for advanced and developing economies over 1971–2016.
Figure 2: Depicts the distribution of skewness across decades.
Figure 3: Compares mean credit skewness during crisis and non-crisis periods using Reinhart and Rogoff (2011) and Laeven and Valencia (2012) indices.
Figure 4: Highlights the mean credit skewness in periods with and without banking crises.