INE PAN: seminarium „Cykl kredytowy istnieje. Alternatywne podejście do oceny roli poszczególnych banków w zagregowanym cyklu kredytowym”

Instytut Nauk Ekonomicznych PAN
uprzejmie zaprasza do udziału
w seminarium, na którym
Dr Mariusz Kapuściński
przedstawi referat
pt.: Cykl kredytowy istnieje.
Alternatywne podejście do oceny roli poszczególnych banków
w zagregowanym cyklu kredytowym

Spotkanie odbędzie się 20 marca 2025 roku (czwartek) o godzinie 11.00
w sali 2301 (XXIII piętro) w Pałacu Kultury i Nauki, Pl. Defilad 1.

Abstract

Pipień and Tymoczko (2024) make a unique contribution to the literature on the financial cycle, by extracting credit cycle positions at the bank level, rather than focusing on aggregate data. They interpret the results as indicating “a differentiation of credit cycles in individual banks”. Also, they suggest the credit cycle to be driven mainly by one bank.

In this study I use the same data – for banks operating in Poland – to reinterpret their results and arrive at the following conclusions. First, since – contrary to dominant stream of the literature – Pipień and Tymoczko (2024) do not focus on medium-term frequencies, their bank-level credit cycle positions are dominated by the business cycle, rather than the financial cycle. Second, even using the same measure of the cycle, the common component for respective banks is substantial. Focusing on medium-term frequencies makes it account for 72% of variability. Third, I find the contributions of respective banks to the cycle to be more balanced.

Keywords: financial cycle, systemic risk, macroprudential policy, banks, micro data

JEL: G21, E32, E69