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An Analysis of Credit to the Household Sector in Austria

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    Abstract

    This article provides an econometric analysis of the determinants of the aggregate level of credit to the household sector in Austria. These are our most important results: An error correction model explaining real credit shows that the development of this variable has been in line with fundamental macro data in the last years. Thus, contrary to what could be observed for the euro area as a whole, there has been no loan overhang or shortfall over the last years in Austria. A growth decomposition shows that the largest contribution to real credit growth comes from real GDP. Furthermore, in our case, univariate models are doing better in forecasting real credit than vector error correction models.

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    File URL: http://www.oenb.at/dms/oenb/Publikationen/Finanzmarkt/Financial-Stability-Report/2008/Financial-Stability-Report-16/chapters/fsr_16_special_topics_04_tcm16-95423.pdf
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    Bibliographic Info

    Article provided by Oesterreichische Nationalbank (Austrian Central Bank) in its journal Financial Stability Report.

    Volume (Year): (2008)
    Issue (Month): 16 ()
    Pages:

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    Handle: RePEc:onb:oenbfs:y:2008:i:16:b:4

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    Related research

    Keywords: Loan overhang; household debt; time-series models;

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    Cited by:
    1. Sophocles Brissimis & Eugenie Garganas & Stephen G. Hall, 2012. "Consumer credit in an era of financial liberalisation: an overreaction to repressed demand?," Working Papers 148, Bank of Greece.
    2. repec:pra:mprapa:40579 is not listed on IDEAS

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