TheRiskinessofCreditOriginsandDownsideRiskstoEconomicActivityPreparedbyClaudioRaddatz,DulaniSeneviratne,JérômeVandenbussche,PeichuXie,andYizhiXuWP/24/72IMFWorkingPapersdescriberesearchinprogressbytheauthor(s)andarepublishedtoelicitcommentsandtoencouragedebate.TheviewsexpressedinIMFWorkingPapersarethoseoftheauthor(s)anddonotnecessarilyrepresenttheviewsoftheIMF,itsExecutiveBoard,orIMFmanagement2024MAR©2024InternationalMonetaryFundWP/24/72IMFWorkingPaperMonetaryandCapitalMarketsDepartmentTheRiskinessofCreditOriginsandDownsideRiskstoEconomicActivityPreparedbyClaudioRaddatz,DulaniSeneviratne,JérômeVandenbussche,PeichuXie,andYizhiXuAuthorizedfordistributionbyDavidHofmanMarch2024IMFWorkingPapersdescriberesearchinprogressbytheauthor(s)andarepublishedtoelicitcommentsandtoencouragedebate.TheviewsexpressedinIMFWorkingPapersarethoseoftheauthor(s)anddonotnecessarilyrepresenttheviewsoftheIMF,itsExecutiveBoard,orIMFmanagement.ABSTRACT:Weconstructacountry-levelindicatorcapturingtheextenttowhichaggregatebankcreditgrowthoriginatesfrombankswitharelativelyriskierprofile,whichwelabeltheRiskinessofCreditOrigins(RCO).Usingbank-leveldatafrom42countriesovermorethantwodecades,wedocumentthatRCOvariationsovertimeareafeatureofthecreditcycle.RCOalsorobustlypredictsdownsideriskstoGDPgrowthevenaftercontrollingforaggregatebankcreditgrow...
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