TheRiskinessofCredit
OriginsandDownside
RiskstoEconomic
Activity
PreparedbyClaudioRaddatz,DulaniSeneviratne,Jérôme
Vandenbussche,PeichuXie,andYizhiXu
WP/24/72
IMFWorkingPapersdescriberesearchin
progressbytheauthor(s)andarepublished
toelicitcommentsandtoencouragedebate.
TheviewsexpressedinIMFWorkingPapersare
thoseoftheauthor(s)anddonotnecessarily
representtheviewsoftheIMF,itsExecutive
Board,orIMFmanagement
2024
MAR
©2024InternationalMonetaryFundWP/24/72
IMFWorkingPaper
MonetaryandCapitalMarketsDepartment
TheRiskinessofCreditOriginsandDownsideRiskstoEconomicActivity
PreparedbyClaudioRaddatz,DulaniSeneviratne,JérômeVandenbussche,PeichuXie,andYizhiXu*
AuthorizedfordistributionbyDavidHofman
March2024
IMFWorkingPapersdescriberesearchinprogressbytheauthor(s)andarepublishedtoelicit
commentsandtoencouragedebate.TheviewsexpressedinIMFWorkingPapersarethoseofthe
author(s)anddonotnecessarilyrepresenttheviewsoftheIMF,itsExecutiveBoard,orIMFmanagement.
ABSTRACT:Weconstructacountry-levelindicatorcapturingtheextenttowhichaggregatebankcreditgrowth
originatesfrombankswitharelativelyriskierprofile,whichwelabeltheRiskinessofCreditOrigins(RCO).
Usingbank-leveldatafrom42countriesovermorethantwodecades,wedocumentthatRCOvariationsover
timeareafeatureofthecreditcycle.RCOalsorobustlypredictsdownsideriskstoGDPgrowthevenafter
controllingforaggregatebankcreditgrowthandfinancialconditions,amongotherdeterminants.RCO’s
explanatorypowercomesfromitsrela
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