ASIAN DEVELOPMENT BANK
ADB Economics Working Paper Series
Skewed Credit and Growth Dynamics after the Global
Financial Crisis
Gemma Estrada, Aitor Erce, Donghyun Park,
and Juan Rojas
No. 562 |October 2018
Gemma Estrada (gestrada@adb) is Senior Economics
Officer and Donghyun Park (dpark@adb) is Principal
Economist in the Economic Research and Regional
Cooperation Department of the Asian Development Bank.
Aitor Erce (a.erce@esm.europa.eu) is Principal Economist
and Juan Rojas (j.rojas@esm.europa.eu) is Head of
Economic and Market Analysis in the European Stability
Mechanism.
The views in this paper are those of the authors and do not
reflect the views of the European Stability Mechanism,
their board of directors, or management. We gratefully
acknowledge the valuable editorial contributions of
Cynthia Castillejos-Petalcorin and Kevin Donahue.
Creative Commons Attribution 3.0 IGO license (CC BY 3.0 IGO)
2018 Asian Development Bank
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ISSN 2313-6537 (print), 2313-6545 (electronic)
Publication Stock No. WPS189595-2
DOI: http://dx.doi/10.22617/WPS189595-2
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CONTENTS
TABLESiv
ABSTRACT v
I. INTRODUCTION 1
II. DATA 3
A. Country Sample from Ranciere, Tornell, and Westermann (2008) 4
B. Extended Sample 5
C. Trends by Decades 6
D. Credit Skewness and Crises 7
E. Credit Skewness and Economic Growth Patterns 7
III. METHODOLOGY 9
A. Nonlinearities: Positive versus Negative Skewness 10
B. Negative Skewness and Credit Busts 10
C. Nonlinearities and Credit Deleveraging 11
IV. EMPIRICAL RESULTS 11
A. Ranciere, Tornell, and Westermann (2008) Sample 11
B. Extended Sample 12
C. Extensions of the Ranciere, Tornell, and Westermann (2008) Sample 22
D. Credit Skewness and Higher Moments of Output Growth 33
V. CONCLUSIONS 35
APPENDIX 37
REFERENCES 45。