Credit Growth in Central and Eastern Europe: New (Over)Shooting Stars?
AbstractThis paper analyzes the equilibrium level of private credit to GDP in 11 Central and Eastern European countries on the basis of a number of dynamic panels containing quarterly data on Central and Eastern European economies, emerging markets and developed OECD countries. In doing so, we propose a unifying framework which includes factors driving both the demand for and the supply of private credit. We emphasize that relying on in-sample panel (i.e. including only transition countries) estimates for transition economies is problematic not only because of the upward bias of the estimated constant and slope coeffi cients due to the initial undershooting and the ensuing steady adjustment toward equilibrium, but also because of the instability of the equations estimated for transition economies. The use of out-of-sample (i.e. excluding transition economies) panels suggests that some of the transition economies might have already come close to equilibrium by 2004, whereas others have private credit-to-GDP ratios which are well below the level the fundamentals would justify.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by Oesterreichische Nationalbank (Austrian Central Bank) in its journal Focus on European Economic Integration.
Volume (Year): (2006)
Issue (Month): 1 ()
Pages: 112 - 139
Postal: Oesterreichische Nationalbank, Documentation Management and Communications Services, Otto-Wagner Platz 3, A-1090 Vienna, Austria
Other versions of this item:
- Egert, Balázs & Backé, Peter & Zumer, Tina, 2006. "Credit growth in Central and Eastern Europe: new (over)shooting stars?," Working Paper Series 0687, European Central Bank.
- C31 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions; Social Interaction Models
- C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Longitudinal Data; Spatial Time Series
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Giovanni Favarra, 2003. "An Empirical Reassessment of the Relationship Between Finance and Growth," IMF Working Papers 03/123, International Monetary Fund.
- Kaddour Hadri, 2000.
"Testing for stationarity in heterogeneous panel data,"
Royal Economic Society, vol. 3(2), pages 148-161.
- Tom Doan, . "HADRI: RATS procedure to implement Hadri test for unit roots in panel data," Statistical Software Components RTS00084, Boston College Department of Economics.
- Kaddour Hadri, 1999. "Testing For Stationarity In Heterogeneous Panel Data," Research Papers 1999_04, University of Liverpool Management School.
- Raghuram G. Rajan & Luigi Zingales, 2001. "Financial Systems, Industrial Structure, and Growth," Oxford Review of Economic Policy, Oxford University Press, vol. 17(4), pages 467-482.
- Gergely Kiss & Gábor Vadas, 2005.
"The Role of the Housing Market in Monetary Transmission,"
MNB Background Studies (discontinued)
2005/3, Magyar Nemzeti Bank (the central bank of Hungary).
- Gabor Vadas & Gergely Kiss, 2005. "The Role of the Housing Market in Monetary Transmission," Macroeconomics 0512010, EconWPA.
- LÃ¡szlÃ³ Halpern & Charles Wyplosz, 1997.
"Equilibrium Exchange Rates in Transition Economies,"
IMF Staff Papers,
Palgrave Macmillan, vol. 44(4), pages 430-461, December.
- Lionel Halpern & Charles Wyplosz, 1996. "Equilibrium Exchange Rates in Transition Economies," IMF Working Papers 96/125, International Monetary Fund.
- Calvo, Guillermo A. & Vegh, Carlos A., 1999.
"Inflation stabilization and bop crises in developing countries,"
Handbook of Macroeconomics,
in: J. B. Taylor & M. Woodford (ed.), Handbook of Macroeconomics, edition 1, volume 1, chapter 24, pages 1531-1614
- Guillermo A. Calvo & Carlos A. Vegh, 1999. "Inflation Stabilization and BOP Crises in Developing Countries," NBER Working Papers 6925, National Bureau of Economic Research, Inc.
- Coricelli, Fabrizio & Mucci, Fabio & Revoltella, Debora, 2006. "Household Credit in the New Europe: Lending Boom or Sustainable Growth?," CEPR Discussion Papers 5520, C.E.P.R. Discussion Papers.
- Gergely Kiss & Márton Nagy & Balázs Vonnák, 2006. "Credit Growth in Central and Eastern Europe: Convergence or Boom?," MNB Working Papers 2006/10, Magyar Nemzeti Bank (the central bank of Hungary).
- Gourinchas, Pierre-Olivier & Landerretche, Oscar & Valdés, Rodrigo, 2001.
"Lending Booms: Latin America and the World,"
CEPR Discussion Papers
2811, C.E.P.R. Discussion Papers.
- Balázs Égert & László Halpern & Ronald MacDonald, 2006.
"Equilibrium Exchange Rates in Transition Economies: Taking Stock of the Issues,"
106, Oesterreichische Nationalbank (Austrian Central Bank).
- Égert, Balázs & Halpern, László & MacDonald, Ronald, 2004. "Equilibrium Exchange Rates in Transition Economies: Taking Stock of the Issues," CEPR Discussion Papers 4809, C.E.P.R. Discussion Papers.
- Balázs Égert, & László Halpern & Ronald MacDonald, 2005. "Equilibrium Exchange Rates in Transition Economies: Taking Stock of the Issues," William Davidson Institute Working Papers Series wp793, William Davidson Institute at the University of Michigan.
- Simeon Djankov & Caralee McLiesh & Andrei Shleifer, 2005.
"Private Credit in 129 Countries,"
NBER Working Papers
11078, National Bureau of Economic Research, Inc.
- Abdul Abiad & Ashoka Mody, 2005.
"Financial Reform: What Shakes It? What Shapes It?,"
American Economic Review,
American Economic Association, vol. 95(1), pages 66-88, March.
- Beck, T.H.L. & Levine, R. & Loayza, N., 2000.
"Finance and the sources of growth,"
Open Access publications from Tilburg University
urn:nbn:nl:ui:12-3125520, Tilburg University.
- A. Calza & C. Gartner & J. Sousa, 2003.
"Modelling the demand for loans to the private sector in the euro area,"
Taylor and Francis Journals, vol. 35(1), pages 107-117.
- Calza, Alessandro & Gartner, Christine & Sousa, João, 2001. "Modelling the demand for loans to the private sector in the euro area," Working Paper Series 0055, European Central Bank.
- Levin, Andrew & Lin, Chien-Fu & James Chu, Chia-Shang, 2002.
"Unit root tests in panel data: asymptotic and finite-sample properties,"
Journal of Econometrics,
Elsevier, vol. 108(1), pages 1-24, May.
- Tom Doan, . "LEVINLIN: RATS procedure to perform Levin-Lin-Chu test for unit roots in panel data," Statistical Software Components RTS00242, Boston College Department of Economics.
- M Pesaran & Yongcheol Shin & Ron P Smith, 2004. "Pooled mean group estimation of dynamic heterogeneous panels," ESE Discussion Papers 16, Edinburgh School of Economics, University of Edinburgh.
- Calza, Alessandro & Manrique, Marta & Sousa, João, 2003. "Aggregate loans to the euro area private sector," Working Paper Series 0202, European Central Bank.
- Maeso-Fernandez, Francisco & Osbat, Chiara & Schnatz, Bernd, 2005. "Pitfalls in estimating equilibrium exchange rates for transition economies," Economic Systems, Elsevier, vol. 29(2), pages 130-143, June.
- Christoph Duenwald & Nikolay Gueorguiev & Andrea Schaechter, 2005. "Too Much of a Good Thing? Credit Booms in Transition Economies: The Cases of Bulgaria, Romania, and Ukraine," IMF Working Papers 05/128, International Monetary Fund.
- Boris Hofmann, 2001. "The determinants of private sector credit in industrialised countries: do property prices matter?," BIS Working Papers 108, Bank for International Settlements.
- Rajan, Raghuram G, 1994. "Why Bank Credit Policies Fluctuate: A Theory and Some Evidence," The Quarterly Journal of Economics, MIT Press, vol. 109(2), pages 399-441, May.
- Michal Brzoza-Brzezina, 2005. "Lending Booms in Europe’s Periphery: South-Western Lessons for Central-Eastern Members," Macroeconomics 0502002, EconWPA.
- Im, Kyung So & Pesaran, M. Hashem & Shin, Yongcheol, 2003.
"Testing for unit roots in heterogeneous panels,"
Journal of Econometrics,
Elsevier, vol. 115(1), pages 53-74, July.
- Pasaran, M.H. & Im, K.S. & Shin, Y., 1995. "Testing for Unit Roots in Heterogeneous Panels," Cambridge Working Papers in Economics 9526, Faculty of Economics, University of Cambridge.
- Tom Doan, . "IPSHIN: RATS procedure to implement Im, Pesaran and Shin panel unit root test," Statistical Software Components RTS00098, Boston College Department of Economics.
- Ivanna Vladkova Hollar & Giovanni Dell'Ariccia & Carlo Cottarelli, 2003.
"Early Birds, Late Risers, and Sleeping Beauties: Bank Credit Growth to the Private Sector in Central and Eastern Europe and in the Balkans,"
IMF Working Papers
03/213, International Monetary Fund.
- Cottarelli, Carlo & Dell'Ariccia, Giovanni & Vladkova-Hollar, Ivanna, 2005. "Early birds, late risers, and sleeping beauties: Bank credit growth to the private sector in Central and Eastern Europe and in the Balkans," Journal of Banking & Finance, Elsevier, vol. 29(1), pages 83-104, January.
- Ceyla Pazarbasioglu & Gudrun Johnsen & Paul Louis Ceriel Hilbers & Inci Ã–tker, 2005. "Assessing and Managing Rapid Credit Growth and the Role of Supervisory and Prudential Policies," IMF Working Papers 05/151, International Monetary Fund.
This item has more than 25 citations. To prevent cluttering this page, these citations are listed on a separate page. reading list or among the top items on IDEAS.Access and download statisticsgeneral information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Birgit Riedler).
If references are entirely missing, you can add them using this form.