• Credit supply conditions and business cycles: New evidence from bank lending survey data

      Apergis, Nicholas; Chatziantoniou, Ioannis; University of Derby; University of Portsmouth (Elsevier, 2020-09-28)
      In this study, we utilize an Autoregressive Distributed Lag (ARDL) model in order to investigate the impact of changing lending standards on aggregate economic activity, considering the period 2000-2017 and five major economies, that is, Canada, Germany, Japan, the UK, and the US. We capture lending conditions using bank lending survey data that help extract the credit-supply side of the shock and, thus, direct the focus onto loan supply-factors. The main findings document that shocks associated with changes in lending standards play a substantial role in determining changes in real economic activity within each country. It should also be noted that these results remain robust even when we consider a structural break in our data and investigate these effects separately for the period immediately after the outbreak of the Global Financial Crisis of 2007-09. Overall, the findings suggest that bank lending survey data provide important informational content and deepen our understanding regarding changes in real economic activity. On a final note, we provide further insights regarding the relationship of both price and non-price elements of bank lending, particularly considering the risk-taking channel of monetary policy.