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Crédito, Exceso de toma de Riesgo, Costo de Crédito y ciclo Económico en Chile

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  • Carlos J. García
  • Andrés Sagner
Abstract
This paper studies the interaction between the business cycle and the credit market. A first result is that the business cycle has procyclical effects on different types of credit (i.e., consumer, commercial and mortgage loans). The results area obtained through the identification of structural shocks of VAR models that empirically replicate the standard transmission mechanism of monetary policy that has been found in previous work on the Chilean economy. However, our evidence points to new results. Periods of economic expansion trigger in the medium term, first, an increase in non– performing loans, and then, a decline in credit. We interpret this phenomenon as excessive risktaking. Similarly, periods of economic contraction and high interest rates are followed by a drop in non–performing loans in the medium term and then by a credit expansion. Finally, unexpected increases in non–performing loans can also produce contractionary effects, a rise in inflation by increasing credit risk and financial costs for firms.

Suggested Citation

  • Carlos J. García & Andrés Sagner, 2011. "Crédito, Exceso de toma de Riesgo, Costo de Crédito y ciclo Económico en Chile," Working Papers Central Bank of Chile 645, Central Bank of Chile.
    • Handle: RePEc:chb:bcchwp:645
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    Cited by:

    1. Carlos Garcia & Andrés Sagner, 2012. "Exceso de Toma de Riesgo Crediticio en Chile," ILADES-UAH Working Papers inv280, Universidad Alberto Hurtado/School of Economics and Business.

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    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

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