THE EFFECT OF CREDIT RISK ON OUTPUT: EVIDENCE FROM FRANCE, GERMANY, ITALY AND SPAIN DATA

Bu çalışma, kredi riskinin üretim üzerindeki etkisini Euro bölgesinin başta gelen dört ülkesi olan Fransa, Almanya, İtalya ve İspanya için analiz etmektedir. Bu amaçla, kredi riskinin üretim üzerindeki etkisine daha yakından bakmak için iki değişkenli VAR modeli ve kredi riskini ülkeye özgü bir yapıda değerlendirmek için klasik VAR modeli 1999:01-2015:08 dönemi için uygulanmıştır. Temel sonuç, dört Euro bölgesi ülkesi için de, kredi riskinin üretim üzerinde ani, güçlü ve uzun süre kalıcı bir negatif etkiye sahip olduğudur. Ayrıca, kredi riskinin üretim üzerindeki etkisi İtalya için en güçlü, İspanya için en uzun ve Fransa için en küçük etkiye sahiptir. Almanya, nispeten kısa fakat güçlü bir kredi riski etkisine sahiptir.

KREDİ RİSKİNİN ÜRETİME ETKİSİ: FRANSA, ALMANYA, İTALYA VE İSPANYA VERİLERİNDEN KANIT

This paper analyzes the effect of credit risk on output for four significant countries within the Euro area; namely France, Germany, Italy and Spain. For this aim, bivariate VAR model is applied for a closer look at the effect of the credit risk on output and the classical VAR model is applied to put the credit risk in a country specific structure for the 1999:01-2015:08. The main conclusion is that the credit risk has immediate, strong and long-lasting negative impact on output for the aforementioned countries. Furthermore, the effect of the credit risk on output has the strongest for Italy, longest for Spain and smallest for France. Germany has relatively short but strong credit risk effect on its own output.

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Ekonomik ve Sosyal Araştırmalar Dergisi-Cover

ISSN: 1306-2174
Yayın Aralığı: Yılda 2 Sayı
Başlangıç: 2005
Yayıncı: Abant İzzet Baysal Üniversitesi İktisadi ve İdari Bilimler Fakültesi