An Indicator of Credit Crunch using Italian Business Surveys

Alessandro Girardi, Marco Ventura and Patrizia Margani

MPRA Paper from University Library of Munich, Germany

Abstract: This paper presents a two-step procedure to derive a credit crunch indicator for the Italian manufacturing sector. Using qualitative firm-level data over the years 2008-2018, nonlinear discrete panel data techniques are first applied in order to identify the loan supply curve controlling for firm-specific observable characteristics. In the subsequent step, the variation of the estimated supply curve that cannot be explained by proxies for loan demand is interpreted as the degree of credit squeeze prevailing in the economy at a given point in time. The empirical evidence shows that credit crunch episodes are less likely to occur during periods of sustained economic growth, or when credit availability for the manufacturing sector is relatively abundant. In contrast, a tight monetary policy stance or a worsening of the quality of banking balance sheets tend to increase the likelihood of experiencing a credit squeeze

Keywords: business survey; credit crunch; access to credit (search for similar items in EconPapers)
JEL-codes: C23 G30 G32 (search for similar items in EconPapers)
Date: 2018-09
New Economics Papers: this item is included in nep-eur and nep-sbm
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Citations: View citations in EconPapers (2)

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