Modeling Credit Aggregates

Sylvia Kaufmann and Maria Valderrama ()

Working Papers from Oesterreichische Nationalbank (Austrian Central Bank)

Abstract: The purpose of this paper is to model both loans to households and to non-financial corporations as well as their relation to interest rates and demand variables for Austria, Germany, the Netherlands and the United Kingdom. Credit aggregates are modeled using a Markov-switching vector autoregressive model, which allows testing as to whether shocks to the economy have stronger effects during tight credit regimes or economic downturns. The analysis of the above-mentioned countries makes it possible to assess the differences in the amplifying and asymmetric effects of credit aggregates between marketbased and bank-based financial systems.

Keywords: Asymmetry and amplification; credit aggregates; market-based and bank-based financial systems (search for similar items in EconPapers)
JEL-codes: C32 E44 E51 (search for similar items in EconPapers)
Pages: 58
Date: 2004-09-20
New Economics Papers: this item is included in nep-eec and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (31)

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Related works:
Working Paper: Modeling Credit Aggregates (2010)
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