Credit behavior and Financial Stability in an Emerging Economy

Tipo
Artigos

Ano
24/08/2022

Linha de Pesquisa
Administração e Economia de Negócios

Autor(es)
Claudio Moraes, Ágata Costa

Orientador

https://doi.org/10.1016/j.ecosys.2022.100999


Caso deseje uma cópia integral da tese/dissertação, por favor envie um e-mail para biblioteca@coppead.ufrj.br.

Economic Systems, Vol. ahead-of-print No. ahead-of-print. Abstract: One relevant issue for the management of financial stability is the monitoring of the credit market. In this sense, Basel III proposed the credit gap as the most appropriate measure to anticipate financial stability issues. However, the adoption of the credit gap has been criticized, especially for emerging markets. Through a panel data analysis, this study investigates the effect of the credit gap and credit growth rate on financial stability in Brazil, which represents a relevant emerging economy. For this purpose, we use a set of financial stability measures traditionally found in the literature: z-score, regulatory capital and credit risk. The results suggest that the credit gap and credit growth rates are adequate metrics to indicate the sustainability of credit growth in Brazil. However, the credit growth rates are more attractive, since it indicates a threshold for credit growth in the Brazilian economy concerning financial stability.

Keywords: Credit growth, Financial stability, Emerging economies.

Tipo
Artigos

Ano
24/08/2022

Linha de Pesquisa
Administração e Economia de Negócios

Autor(es)
Claudio Moraes, Ágata Costa

Orientador

https://doi.org/10.1016/j.ecosys.2022.100999


Caso deseje uma cópia integral da tese/dissertação, por favor envie um e-mail para biblioteca@coppead.ufrj.br.

Economic Systems, Vol. ahead-of-print No. ahead-of-print. Abstract: One relevant issue for the management of financial stability is the monitoring of the credit market. In this sense, Basel III proposed the credit gap as the most appropriate measure to anticipate financial stability issues. However, the adoption of the credit gap has been criticized, especially for emerging markets. Through a panel data analysis, this study investigates the effect of the credit gap and credit growth rate on financial stability in Brazil, which represents a relevant emerging economy. For this purpose, we use a set of financial stability measures traditionally found in the literature: z-score, regulatory capital and credit risk. The results suggest that the credit gap and credit growth rates are adequate metrics to indicate the sustainability of credit growth in Brazil. However, the credit growth rates are more attractive, since it indicates a threshold for credit growth in the Brazilian economy concerning financial stability.

Keywords: Credit growth, Financial stability, Emerging economies.

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