Modelling credit growth in commercial banks with the use of data from Senior Loan Officers Opinion Survey

Zuzanna Wośko

No 210, NBP Working Papers from Narodowy Bank Polski

Abstract: This paper describes the model of credit growth in the sector of commercial banks in Poland making use of panel data from Senior Loan Officers Opinion Survey (SLOS). The main aim of the model is short-term forecasting of the loan growth at the disaggregated (for particular banks) and aggregated (commercial banks’ sector) level using qualitative information about expected banks’ loan policy. The model was estimated on the sample of quarterly panel data spanning the period from mid- 2005 to 2014 and involving about 30 banks covering more than 80 percent of the Polish banking sector loan portfolio. The model framework includes equations of credit growth in particular segments of loans – corporate, consumer and housing, enhanced by the equations of ordered-choice loan policy, which reflect respondents’ expectations for the next quarter.

Keywords: credit growth; senior loan officers opinion survey (search for similar items in EconPapers)
JEL-codes: C23 C25 E58 G2 (search for similar items in EconPapers)
Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:nbp:nbpmis:210

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