Modelling loans to non-financial corporations in the euro area

Christoffer Kok, Carlotta Rossi and David Marques-Ibanez

No 989, Working Paper Series from European Central Bank

Abstract: We model the determinants of loans to non-financial corporations in the euro area. Using the Johansen (1992) methodology, we identify three cointegrating relationships. These relationships are interpreted as the long-run loan demand, investment and loan supply equations. The short-run dynamics of loan demand for the euro area are subsequently modelled by means of a Vector Error Correction Model (VECM). We perform a number of specification tests, which suggest that developments in loans to non-financial corporations in the euro area can be reasonably explained by the model. We then use the estimated model to analyse the impact of permanent and temporary shocks to the policy rate on bank lending to nonfinancial corporations. JEL Classification: C32, C51

Keywords: bank credit; cointegration; error-correction model; euro area; non-financial corporations (search for similar items in EconPapers)
Date: 2009-01
Note: 508948
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (11)

Downloads: (external link)
https://www.ecb.europa.eu//pub/pdf/scpwps/ecbwp989.pdf (application/pdf)

Related works:
Working Paper: Modelling loans to non-financial corporations in the euro area (2012)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ecb:ecbwps:2009989

Access Statistics for this paper

More papers in Working Paper Series from European Central Bank 60640 Frankfurt am Main, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Official Publications ().