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Identifying multiple regimes in the model of credit to households

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  • Serwa, Dobromił

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 novel method for estimating multi-regime threshold regression models for dynamic panel data is also employed.

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Bibliographic Info

Article provided by Elsevier in its journal International Review of Economics & Finance.

Volume (Year): 27 (2013)
Issue (Month): C ()
Pages: 198-208

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Handle: RePEc:eee:reveco:v:27:y:2013:i:c:p:198-208

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Web page: http://www.elsevier.com/locate/inca/620165

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Keywords: Credit boom; Threshold regression; Dynamic panel;

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Cited by:
  1. Dobromił Serwa, 2013. "Measuring Non-Performing Loans During (and After) Credit Booms," Central European Journal of Economic Modelling and Econometrics, CEJEME, vol. 5(3), pages 163-183, September.
  2. Rubaszek, Michał & Serwa, Dobromil, 2012. "Determinants of credit to households in a life-cycle model," Working Paper Series 1420, European Central Bank.

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