A Credit Market Disequilibrium Model And Periods of Credit Crunch

Ana Maria Čeh, Mirna Dumicic Jemric and Ivo Krznar
Additional contact information
Ana Maria Čeh: The Croatian National Bank, Croatia

No 28, Working Papers from The Croatian National Bank, Croatia

Abstract: In this paper, we estimate a credit market disequilibrium model in order to establish specific determinants of credit supply and demand and to identify credit market disequilibrium periods. The model estimation results indicate three characteristic sub-periods, differentiated by sources of bank credit activity dynamics. The first period, from 2000 to 2002, was marked by equilibrium between credit supply and demand and gradual stabilisation of global financial markets and the domestic banking sector after the crisis in the late 1990s. In the second period, from end-2002 to the middle of 2009, encouraged by strong foreign capital inflows, banks were ready to supply more credit than demanded. The third period, marked by an abrupt halt in credit activity, started with an escalation of the world financial crisis during the third quarter of 2008 and lasted until end-2009. According to the model estimation results, such movements were the consequence of a credit supply shortage, i.e. a credit crunch.

Keywords: credit crunch; credit rationing; credit market disequilibrium model (search for similar items in EconPapers)
JEL-codes: E44 G21 G28 (search for similar items in EconPapers)
Pages: 17 pages
Date: 2011-01
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9)

Downloads: (external link)
http://www.hnb.hr/repec/hnb/wpaper/pdf/w-028.pdf (application/pdf)

Related works:
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:hnb:wpaper:28

Access Statistics for this paper

More papers in Working Papers from The Croatian National Bank, Croatia
Bibliographic data for series maintained by Romana Sinković ().