The paper contributes to the literature on the convergence of financial systems in the euro area by estimating household credit demand in individual countries. Using the ARDL framework advocated notably by Pesaran et al. (1999), the paper provides evidence on the convergence of long run credit demand determinants (interest rates, investment and house prices) among the largest euro area countries, while short run dynamics remain heterogenous across countries. The paper also demonstrates that the equation uncovers demand rather than supply behaviour.
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Paper provided by Banque de France in its series Documents de Travail with number
158.
Find related papers by JEL classification: E51 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Money Supply; Credit; Money Multipliers C31 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data
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[Downloadable!] (restricted)
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