Modelling loans to non-financial corporations in the euro area

Christoffer Kok, David Marqu�s Ib��ez () and Carlotta Rossi ()
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David Marqu�s Ib��ez: European Central Bank
Carlotta Rossi: Bank of Italy
Authors registered in the RePEc Author Service: David Marques-Ibanez

No 857, Temi di discussione (Economic working papers) from Bank of Italy, Economic Research and International Relations Area

Abstract: We model the determinants of loans to non-financial corporations in the euro area. Using the Johansen (1992) methodology, we identify three cointegrating relationships. These relationships are interpreted as the long-run loan demand, investment and loan supply equations. The short-run dynamics of loan demand for the euro area are subsequently modelled using a Vector Error Correction Model (VECM). We perform a number of specification tests, which suggest that developments in loans to non-financial corporations in the euro area can be reasonably explained by the model. We then use the estimated model to analyse the impact of permanent and temporary shocks to the policy rate on bank lending to non-financial corporations.

Keywords: loans to non-financial corporations; credit (search for similar items in EconPapers)
JEL-codes: C32 C51 (search for similar items in EconPapers)
Date: 2012-02
New Economics Papers: this item is included in nep-ban and nep-eec
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Related works:
Working Paper: Modelling loans to non-financial corporations in the euro area (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:bdi:wptemi:td_857_12

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