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Bank lending in Germany and the UK: are there differences between a bank-based and a market-based country?

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  • Sylvia Kaufmann

    (Economic Studies Division, Oesterreichische Nationalbank, Vienna, Austria)

  • Maria Teresa Valderrama

    (Economic Analysis Division, Oesterreichische Nationalbank, Vienna, Austria)

Abstract

We estimate Markov switching vector autoregressive systems for loans to firms and loans to households to investigate their relationship to interest rates and investment and consumption, respectively. We find evidence for different reactions of lending to shocks in real variables and interest rates across regimes both within countries and across countries for a given regime. We find evidence for a procyclical effect of lending during specific growth periods in both countries. Copyright © 2007 John Wiley & Sons, Ltd.

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File URL: http://hdl.handle.net/10.1002/ijfe.345
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Bibliographic Info

Article provided by John Wiley & Sons, Ltd. in its journal International Journal of Finance & Economics.

Volume (Year): 13 (2008)
Issue (Month): 3 ()
Pages: 266-279

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Handle: RePEc:ijf:ijfiec:v:13:y:2008:i:3:p:266-279

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  1. Boot, Arnoud W. A., 2000. "Relationship Banking: What Do We Know?," Journal of Financial Intermediation, Elsevier, vol. 9(1), pages 7-25, January.
  2. Dietmar Harhoff & Timm Körting, 1998. "Lending Relationships in Germany: Empirical Results from Survey Data," CIG Working Papers FS IV 98-06, Wissenschaftszentrum Berlin (WZB), Research Unit: Competition and Innovation (CIG).
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  7. Elsas, Ralf & Krahnen, Jan Pieter, 1998. "Is relationship lending special? Evidence from credit-file data in Germany," CFS Working Paper Series 1998/05, Center for Financial Studies (CFS).
  8. Ashoka Mody & Mark P. Taylor, 2003. "The High-Yield Spread as a Predictor of Real Economic Activity: Evidence of a Financial Accelerator for the United States," IMF Staff Papers, Palgrave Macmillan, vol. 50(3), pages 3.
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  15. Petersen, Mitchell A & Rajan, Raghuram G, 1994. " The Benefits of Lending Relationships: Evidence from Small Business Data," Journal of Finance, American Finance Association, vol. 49(1), pages 3-37, March.
  16. Chib, Siddhartha, 1996. "Calculating posterior distributions and modal estimates in Markov mixture models," Journal of Econometrics, Elsevier, vol. 75(1), pages 79-97, November.
  17. Boissay, Frédéric, 2001. "Credit rationing, output gap, and business cycles," Working Paper Series 0087, European Central Bank.
  18. Robert S. Chirinko & Julie Ann Elston, 1996. "Banking relationships in Germany: empirical results and policy implications," Research Working Paper 96-05, Federal Reserve Bank of Kansas City.
  19. Rajan, Raghuram G & Zingales, Luigi, 2003. "Banks and Markets: the Changing Character of European Finance," CEPR Discussion Papers 3865, C.E.P.R. Discussion Papers.
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  24. Chatelain, Jean-Bernard & Generale, Andrea & Hernando, Ignacio & Von Kalckreuth, Ulf & Vermeulen, Philip, 2001. "Firm investment and monetary transmission in the euro area," Working Paper Series 0112, European Central Bank.
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Cited by:
  1. Sylvia Kaufmann & Johann Scharler, 2010. "Bank-Lending Standards, the Cost Channel and Inflation Dynamics," Working Papers 164, Oesterreichische Nationalbank (Austrian Central Bank).
  2. repec:onb:oenbwp:y:2010:i:2:b:1 is not listed on IDEAS
  3. Tomas Konecny & Oxana Babecka Kucharcukova, 2013. "Evaluating the Links Between the Financial and Real Sectors in a Small Open Economy: The Case of the Czech Republic," Working Papers 2013/10, Czech National Bank, Research Department.

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