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The second moments matter: The impact of macroeconomic uncertainty on the allocation of loanable funds

Author

Listed:
  • Christopher F. Baum

    (Boston College
    DIW Berlin)

  • Mustafa Caglayan

    (University of Sheffield)

  • Neslihan Ozkan

    (University of Bristol)

Abstract

This paper investigates how variations in macroeconomic uncer- tainty distort commercial banks' allocation of loanable funds by ana- lyzing the dispersion of banks' total loan-to-asset ratios over a quarter- century period.

Suggested Citation

  • Christopher F. Baum & Mustafa Caglayan & Neslihan Ozkan, 2002. "The second moments matter: The impact of macroeconomic uncertainty on the allocation of loanable funds," Boston College Working Papers in Economics 521, Boston College Department of Economics, revised 31 Aug 2008.
  • Handle: RePEc:boc:bocoec:521
    as

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    References listed on IDEAS

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    More about this item

    Keywords

    Loanable funds; macroeconomic uncertainty; panel data;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
    • E51 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Money Supply; Credit; Money Multipliers

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