earticle

영어

This paper analyzes the causal relationship between the output and the credit using the Structural VAR(SVAR) framework. The data sets used in the analysis include the growth rate of the OECD countries, domestic GDP, consumer price index, call rate, loan rate of the commercial banks and total credit in the non-financial sector. The empirical results can be summarized as follows. First, the increases in the credit lead to the output increase, and the increase in the credit also can be the result of the increase in the output. Second, based on the impulse response analysis, it can be shown that after the shocks to the domestic GDP, the credit supply increase and after the shocks to the domestic GDP, the GDP increase within the two quarters. Third, based on the analysis of the variance decomposition, the contribution of the unexpected increase in the credit to the real GDP variation is less than 1%, while the contribution of the GDP to the credit is significant. These results imply that the output and the credit have the causal relationship each other in the short-run, but the effects of the shocks to the credit on the output do not exist in the long-run.