Identifying multiple regimes in the model of credit to households

Dobromił Serwa ()

International Review of Economics & Finance, 2013, vol. 27, issue C, 198-208

Abstract: This research proposes a new method to identify the differing states of the market with respect to lending to households. We use an econometric multi-regime regression model where each regime is associated with a different economic state of the credit market (i.e. a normal regime or a boom regime). The credit market alternates between regimes when some specific variable increases above or falls below the estimated threshold level. A novel method for estimating multi-regime threshold regression models for dynamic panel data is also employed.

Keywords: Credit boom; Threshold regression; Dynamic panel (search for similar items in EconPapers)
JEL-codes: C23 C51 E51 (search for similar items in EconPapers)
Date: 2013
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Related works:
Working Paper: Identifying multiple regimes in the model of credit to households (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:reveco:v:27:y:2013:i:c:p:198-208

DOI: 10.1016/j.iref.2012.10.011

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