Tác động lan truyền giữa tăng trưởng tín dụng và giá tài sản tài chính: Bằng chứng từ mô hình TVP-VAR

Abstract

The article assesses the spillover effects among credit growth, stock, and bond returns through a
dynamic network model with time-varying parameters, TVP-VAR, from 2010 to 2023Q2. The findings reveal
a dynamic interconnection among credit growth, stock price volatility, and bond prices over time. Notably,
credit growth emerges as the primary shock spillover to the system. However, credit growth spillover effects
are mainly toward stock returns dynamics, while the connection between credit growth and bond returns is
much less clear. Conversely, stock return exhibits spillover effects on bond return, indicating changes in risk
appetite among market participants during various financial market cycles. Based on the empirical results,
the authors propose some policy implications.