The Impact of International Financial Crisis on Bank Lending to Households. A VAR Approach

Popescu Iulian ()
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Popescu Iulian: “Alexandru I. Cuza” University of Iaºi, Doctoral School of Economics

Ovidius University Annals, Economic Sciences Series, 2011, vol. XI, issue 2, 1088-1094

Abstract: The recent international economic and financial crisis has led to a sharp tightening of lending activity. For the banking system the shock was so strong that its ability to lend to the real economy played and still plays a major role in exacerbating the current crisis, which in turn undermines the strength of banks, highlighting the existence of a continuous mutual potentiation. The objective of this paper is to test, considering the Romanian case, the impact of the strong reduction of gross domestic product growth on banks lending to households. In order to do so, we use a vector autoregressive (VAR) model. The main results of VAR analysis indicate a positive relation between GDP and loans to households, but also the fact that a small share (less than 10%) of the variation in lending to households was determined by a shock of gross domestic product variable.

Keywords: credit crunch; VAR model; financial crisis; loans to households. (search for similar items in EconPapers)
JEL-codes: C32 E51 G01 (search for similar items in EconPapers)
Date: 2011
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Persistent link: https://EconPapers.repec.org/RePEc:ovi:oviste:v:xi:y:2011:i:9:p:1088-1094

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