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The universal banking feedback effet : U.S. and Canada evidence

Author

Listed:
  • Christian Calmès

    (Chaire d'information financière et organisationnelle ESG-UQAM, Laboratory for Research in Statistics and Probability, Université du Québec (Outaouais))

  • Raymond Théoret

    (Chaire d'information financière et organisationnelle ESG-UQAM, Université du Québec (Montréal), Université du Québec (Outaouais))

Abstract

Bank non-traditional business lines have significant feedback effects on both economic activity and the stock market. These effects appear in the non-interest income series after 1997 strucutral break. Based on U.S. and Canadian data, we find that the banking cycle tends to lead the business cycle in both countries over the whole sample period (frist quarter of 1984 to last quarter of 2013), and particularly in the last decades. Despite these results, the impact of monetary policy on net interest income remains surprisingly stable after the emergence of universal banking.

Suggested Citation

  • Christian Calmès & Raymond Théoret, 2016. "The universal banking feedback effet : U.S. and Canada evidence," RePAd Working Paper Series UQO-DSA-wp062015, Département des sciences administratives, UQO.
    • Handle: RePEc:pqs:wpaper:062015
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    File URL: http://www.repad.org/ca/qc/uq/uqo/dsa/cifo2015-06.pdf
    File Function: First version, 2016
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    More about this item

    Keywords

    Universal banking; Banking cycle; VAR; feedback effects.;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • G20 - Financial Economics - - Financial Institutions and Services - - - General
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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