2011年-IMF国际货币组织全球_Determinants_of_Bank_Credit_in_Emerging_Market_Economies_21页_1mb

Summary of "Determinants of Bank Credit in Emerging Market Economies"

Core Content

This paper examines the determinants of bank credit in emerging market economies (EMEs) over the last decade, covering both pre-crisis and post-crisis periods. It uses a large panel dataset to analyze the impact of various domestic and global factors on credit growth.

Main Findings

• Credit Growth Drivers: Both domestic and foreign funding contribute positively and symmetrically to credit growth in EMEs. For every unit of additional funding, approximately half is lent out to the private sector.
• Economic Growth: Stronger economic growth leads to higher credit growth, as it increases the demand for credit.
• Inflation: While inflation increases nominal credit, it is detrimental to real credit growth. If the coefficient is less than 1, it implies that inflation reduces real credit growth.
• Monetary Conditions: Loose monetary conditions, whether domestic or global, result in more credit growth. A higher deposit rate indicates tighter monetary policy and thus slower credit growth.
• Bank Sector Health: A healthier banking sector is associated with higher credit growth, as evidenced by the negative relationship between the non-performing loan (NPL) ratio and credit growth.
• Regional Differences: There are significant regional differences in credit growth before and after the crisis. European EMEs, particularly the Baltic States, saw the sharpest slowdown post-crisis. Asian EMEs, especially China, experienced continued credit expansion, while some countries like Egypt, Jordan, and South Africa saw sharp declines.
• Robustness of Results: The findings are robust across various specifications and sample periods. The results suggest that the same underlying factors can explain both time-series and cross-sectional variations in credit growth.

Key Variables and Their Impact

Policy Implications

• Funding Sources: Policymakers should monitor both domestic and foreign funding sources, as they are equally important for credit growth.
• Monetary Policy: Loose monetary conditions can lead to higher credit growth, but tight conditions may be necessary to prevent excessive credit expansion.
• Bank Sector Regulation: Maintaining a healthy banking sector is crucial for sustainable credit growth. High NPL ratios can limit credit availability.
• Economic Stability: Economic growth is a key driver of credit expansion, and policymakers should aim to maintain stable growth to support credit demand.
• Global Factors: The global economic environment, particularly US monetary policy, plays a significant role in credit growth in EMEs.
• Regional Considerations: The impact of the crisis on credit growth varied by region, suggesting that regional policy responses may be necessary.

Methodology and Data

• Data Sources: Quarterly data from the IMF databases: International Financial Statistics (IFS), World Economic Outlook (WEO), and Global Financial Stability Report (GFSR).
• Time Period: 2002Q1 to 2010Q1, with a focus on the full sample and a pre-crisis subsample.
• Variables Used: Private credit growth, foreign liabilities, domestic deposits, real GDP, inflation, deposit rate, exchange rate, US federal funds rate, US M2, and NPL ratio.
• Regression Approach: The paper uses a benchmark regression model that includes interaction terms for deposit and non-resident liability growth with their respective shares in total credit. Country fixed effects are included to control for unobserved heterogeneity.

Robustness Checks

• The results are consistent across alternative specifications, including the inclusion of time dummies to control for cyclical effects.
• The paper also explores the impact of initial conditions, such as the initial credit-to-GDP ratio and NPL ratio, and finds that they influence credit growth in different ways.
• The use of US M2 growth as an alternative measure of global monetary conditions yields similar results, reinforcing the robustness of the findings.

Conclusion

The study provides valuable insights into the factors that drive bank credit in EMEs, emphasizing the importance of both domestic and foreign funding, economic growth, and monetary conditions. It also highlights the need for careful policy management to mitigate the risks of boom-bust cycles in credit growth.