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.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Working Paper ; No. 90

Classification and Topics

• Classification: 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
• Subject: Asymmetry and amplification ; credit aggregates ; market-based and bank-based financial systems

Contributors, Location and Time

• Event: Geistige Schöpfung
• (who): Kaufmann, Sylvia ; Valderrama, Maria Teresa
• Event: Veröffentlichung
• (who): Oesterreichische Nationalbank (OeNB)
• (where): Vienna
• (when): 2004

Further information

• Handle: http://hdl.handle.net/10419/264682
• Last update: 20.09.2024, 8:21 AM CEST