Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/187734
Authors: 
Ekinci, Aykut
Year of Publication: 
2016
Citation: 
[Journal:] European Financial and Accounting Journal [ISSN:] 1805-4846 [Volume:] 11 [Year:] 2016 [Issue:] 1 [Pages:] 39-63
Abstract: 
This study argues that increasing malinvestment in an economy raises the actual credit risk but not the calculated credit risk until the onset of a recession. To this end, I analyse the relationship between credit risk and malinvestment in Germany, Spain, and Italy using a credit risk indicator based on nonfinancial corporate bond yields and annual loan growth for nonfinancial corporations from January 2004 to November 2014 on a monthly basis. The study also analyses Italy using sectorial non-performing loans data since Italy was the most affected by malinvestment among the countries in question. As a result, this paper suggests that banks should include malinvestment as a subcomponent of credit risk and recognize that the actual credit risk is higher than the calculated credit risk during artificial booms. This recommendation also underscores that malinvestment should be analysed more empirically.
Subjects: 
Austrian Business Cycle
Credit risk
Malinvestment
Monetary Transmission Mechanism
JEL: 
B53
E32
E50
Persistent Identifier of the first edition: 
Document Type: 
Article

Files in This Item:
File
Size
742.14 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.