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What is cyclical in credit cycles?

Cui, Rui.

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What is cyclical in credit cycles?

Record Type:	Electronic resources : Monograph/item
Title/Author:	What is cyclical in credit cycles?/
Author:	Cui, Rui.
Description:	47 p.
Notes:	Source: Dissertation Abstracts International, Volume: 76-02(E), Section: A.
Contained By:	Dissertation Abstracts International76-02A(E).
Subject:	Finance. -
Online resource:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3638554
ISBN:	9781321222548

What is cyclical in credit cycles?
Cui, Rui.

What is cyclical in credit cycles? - 47 p.

Source: Dissertation Abstracts International, Volume: 76-02(E), Section: A.

Thesis (Ph.D.)--The University of Chicago, 2014.

Credit cycles are both growth cycles and risk cycles. To support this view, I present time series evidence of systematic variations in credit growth and credit quality of marginal borrowers as constructed from corporate sector balance sheet data, credit instrument issurance data and loan officers' survey data in the United States. I show a strong empirical link between equity return volatility of financial intermediaries and measured credit quality of marginal borrowers. I further study the causes and consequenses of these phenomenon in a general equilibrium model with production heterogeneity. My theoretical model features dynamic, stochastic movements in the composition of both the asset and liability sides of the financial intermediaries balance sheets. Due to leverage, positive macroeconomic shocks induces lower risk adjustment when the financial sector evaluates potential loans. Overtime, low-quality, high-risk loans accumulate on their balance sheets. This buildup process tilts the production frontier of the aggregate economy to be more prone to future shocks. On the other hand, during distress periods, intermediaries optimally substitute risky, high-yield loans with safe, low-yield ones. This clean-up process hurts their return on equity and prolongs the distress itself. The model also offers additional insights on "volatility paradox" by endogenizing both financial and real volatilities.

ISBN: 9781321222548Subjects--Topical Terms:

542899
Finance.

What is cyclical in credit cycles?
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300 $a 47 p.
500 $a Source: Dissertation Abstracts International, Volume: 76-02(E), Section: A.
500 $a Advisers: Douglas W. Diamond; Lars P. Hansen.
502 $a Thesis (Ph.D.)--The University of Chicago, 2014.
520 $a Credit cycles are both growth cycles and risk cycles. To support this view, I present time series evidence of systematic variations in credit growth and credit quality of marginal borrowers as constructed from corporate sector balance sheet data, credit instrument issurance data and loan officers' survey data in the United States. I show a strong empirical link between equity return volatility of financial intermediaries and measured credit quality of marginal borrowers. I further study the causes and consequenses of these phenomenon in a general equilibrium model with production heterogeneity. My theoretical model features dynamic, stochastic movements in the composition of both the asset and liability sides of the financial intermediaries balance sheets. Due to leverage, positive macroeconomic shocks induces lower risk adjustment when the financial sector evaluates potential loans. Overtime, low-quality, high-risk loans accumulate on their balance sheets. This buildup process tilts the production frontier of the aggregate economy to be more prone to future shocks. On the other hand, during distress periods, intermediaries optimally substitute risky, high-yield loans with safe, low-yield ones. This clean-up process hurts their return on equity and prolongs the distress itself. The model also offers additional insights on "volatility paradox" by endogenizing both financial and real volatilities.
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