Identifying multiple regimes in the model of credit to households

Dobromił Serwa ()

No 99, NBP Working Papers from Narodowy Bank Polski

Abstract: This research proposes a new method to identify the differing states of the market with respect to lending to households. We use an econometric multi-regime regression model where each regime is associated with a different economic state of the credit market (i.e. a normal regime or a boom regime). The credit market alternates between regimes when some specific variable increases above or falls below the estimated threshold level. A new method for estimating multi-regime threshold regression models for dynamic panel data is also demonstrated.

Keywords: credit boom; threshold regression; dynamic panel (search for similar items in EconPapers)
JEL-codes: C23 C51 E51 (search for similar items in EconPapers)
Pages: 28
Date: 2011
New Economics Papers: this item is included in nep-ecm and nep-mac
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Citations: View citations in EconPapers (1)

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Journal Article: Identifying multiple regimes in the model of credit to households (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:nbp:nbpmis:99

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