Review of Economic Studies · 2023 · [{"name": "Karsten Müller", "affiliation": ["National University of Singapore"]}, {"name": "Emil Verner", "affiliation": []}]
中文摘要
本文利用一个新数据库研究信贷扩张、宏观经济波动与金融危机之间的关系，该数据库涵盖117个国家自1940年以来私人信贷的部门分布。我们记录了如下现象：在信贷繁荣期间，信贷不成比例地流向非贸易部门。流向非贸易部门的信贷扩张进而系统性地预测了随后的增长放缓和金融危机。相比之下，流向贸易部门的信贷扩张与持续的产出和生产率增长相关，且没有更高的金融危机风险。为理解这些模式，我们表明，非贸易部门的企业往往规模更小、更依赖以房地产担保的贷款，并且在危机期间更有可能违约。我们的研究发现与以下模型一致：流向非贸易部门的信贷繁荣由宽松的融资条件驱动，并因抵押品反馈机制而被放大，从而加剧金融脆弱性并促成繁荣—萧条周期。
Abstract
Abstract We study the relationship between credit expansions, macroeconomic fluctuations, and financial crises using a novel database on the sectoral distribution of private credit for 117 countries since 1940. We document that, during credit booms, credit flows disproportionately to the non-tradable sector. Credit expansions to the non-tradable sector, in turn, systematically predict subsequent growth slowdowns and financial crises. In contrast, credit expansions to the tradable sector are associated with sustained output and productivity growth without a higher risk of a financial crisis. To understand these patterns, we show that firms in the non-tradable sector tend to be smaller, more reliant on loans secured by real estate, and more likely to default during crises. Our findings are consistent with models in which credit booms to the non-tradable sector are driven by easy financing conditions and amplified by collateral feedbacks, contributing to increased financial fragility and a boom–bust cycle.