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Interest rates, banking spreads and credit supply: the real effects

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Author Info
F. Barran, V. Coudert, B. Mojon

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Abstract

We analyse the information content of the relative structure of interest rates on economic activity. Over and above currently defined spreads, we have defined spreads based on bank interest rates. In order to analyse the information content of financial variables on economic activity, measured through a set of proxy variables like output, investment, industrial production, employment, private consumption, durable goods consumption and inflation, Granger-causality tests are performed. The predictive power of spreads is then compared with other financial variables such as interest rates and monetary and credit aggregates. The tests are performed on five major OECD countries. A major conclusion is that ‘bank’ spreads are informative about economic activity even though the relationship between financial aggregates and real activity has weakened.

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Publisher Info
Article provided by Taylor and Francis Journals in its journal The European Journal of Finance.

Volume (Year): 3 (1997)
Issue (Month): 2 (June)
Pages: 107-136
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Handle: RePEc:taf:eurjfi:v:3:y:1997:i:2:p:107-136

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Keywords: Interest Rate Spreads Credit Channel;

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References listed on IDEAS
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.:
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Full references

Cited by:
(explanations, 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.)

  1. Arturo Estrella & Frederic S. Mishkin, 1999. "Predicting U.S. Recessions: Financial Variables as Leading Indicators," NBER Working Papers 5379, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  2. Arturo Estrella & Frederic S. Mishkin, 1998. "The Term Structure of Interest Rates and Its Role in Monetary Policy for The European Central Bank," NBER Working Papers 5279, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  3. Jean Pisani-Ferry, 1995. "L'Europe a geometrie variable, une analyse economique," Working Papers 1995-04, CEPII research center. [Downloadable!]
  4. Fernando Barran & Virginie Coudert & Benoit Mojon, 1996. "The transmission of Monetary Policy in the European Countries," Working Papers 1996-03, CEPII research center. [Downloadable!]
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