A micro data approach to the identification of credit crunches

Horst Rottmann and Timo Wollmershäuser

Applied Economics, 2013, vol. 45, issue 17, 2423-2441

Abstract: This article presents a micro data approach to the identification of credit crunches. Using a survey among German firms which regularly queries the firms' assessment of the current willingness of banks to extend credit, we estimate the probability of a restrictive loan supply policy by time taking into account the creditworthiness of borrowers. Creditworthiness is approximated by firm-specific factors, e.g. the firms' assessment of their current business situation and their business expectations. After controlling for the return on the banks' risk-free investment alternative, which is also likely to affect the supply of loans, we derive a credit crunch indicator, which measures that part of the shift in the loan supply that is neither explained by firm-specific factors nor by the opportunity costs of providing risky loans.

Date: 2013
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Related works:
Working Paper: A micro data approach to the identification of credit crunches (2013)
Working Paper: A Micro Data Approach to the Identification of Credit Crunches (2010)
Working Paper: A micro data approach to the identification of credit crunches (2010)
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DOI: 10.1080/00036846.2012.665604

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