Modeling Credit Aggregates

Arbeitspapier

The purpose of this paper is to model both loans to households and to non-financial corporations as well as their relation to interest rates and demand variables for Austria, Germany, the Netherlands and the United Kingdom. Credit aggregates are modeled using a Markov-switching vector autoregressive model, which allows testing as to whether shocks to the economy have stronger effects during tight credit regimes or economic downturns. The analysis of the above-mentioned countries makes it possible to assess the differences in the amplifying and asymmetric effects of credit aggregates between marketbased and bank-based financial systems.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: Working Paper ; No. 90

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models ; Financial Markets and the Macroeconomy ; Money Supply; Credit; Money Multipliers
• Thema: Asymmetry and amplification ; credit aggregates ; market-based and bank-based financial systems

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Kaufmann, Sylvia ; Valderrama, Maria Teresa
• Ereignis: Veröffentlichung
• (wer): Oesterreichische Nationalbank (OeNB)
• (wo): Vienna
• (wann): 2004

Weitere Informationen

• Handle: http://hdl.handle.net/10419/264682
• Letzte Aktualisierung: 20.09.2024, 08:21 MESZ