How to measure lending policy stance of commercial banks?

Ewa Wróbel ()

No 317, NBP Working Papers from Narodowy Bank Polski

Abstract: Basing on the notion that “true” changes in credit standards set by commercial banks are these which do not result from a variation in the Net Present Value (NPV) of a loan, we suggest a method to verify whether the currently observed lending standards are too tight (soft). In this aim we use (S)VAR models which employ macroeconomic data and information contained in the Senior Loan Officer Opinion Survey. We argue that forecasts of credit standards obtained from these models may be identified with the level of standards congruent with the NPV. If actual credit standards systematically differ from forecasts, they provide a signal of a potential development of a credit cycle.

Keywords: lending standards; Net Present Value; (S)VAR models (search for similar items in EconPapers)
JEL-codes: E5 G21 (search for similar items in EconPapers)
Pages: 50
Date: 2019
New Economics Papers: this item is included in nep-ban and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://static.nbp.pl/publikacje/materialy-i-studia/317_en.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:nbp:nbpmis:317

Access Statistics for this paper

More papers in NBP Working Papers from Narodowy Bank Polski Contact information at EDIRC.
Bibliographic data for series maintained by Jakub Growiec ().