An Analysis of Credit to the Household Sector in Austria

Friedrich Fritzer () and Lukas Reiss ()
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Friedrich Fritzer: Oesterreichische Nationalbank, Economic Analysis Division, http://www.oenb.at
Lukas Reiss: Oesterreichische Nationalbank, Economic Analysis Division

Financial Stability Report, 2008, issue 16, 122-134

Abstract: This article provides an econometric analysis of the determinants of the aggregate level of credit to the household sector in Austria. These are our most important results: An error correction model explaining real credit shows that the development of this variable has been in line with fundamental macro data in the last years. Thus, contrary to what could be observed for the euro area as a whole, there has been no loan overhang or shortfall over the last years in Austria. A growth decomposition shows that the largest contribution to real credit growth comes from real GDP. Furthermore, in our case, univariate models are doing better in forecasting real credit than vector error correction models.

Keywords: Loan overhang; household debt; time-series models (search for similar items in EconPapers)
JEL-codes: C22 C32 C53 E51 (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (4)

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