Modelling loans to non-financial corporations in the euro area
AbstractWe model the determinants of loans to non-financial corporations in the euro area. Using the Johansen (1992) methodology, we identify three cointegrating relationships. These relationships are interpreted as the long-run loan demand, investment and loan supply equations. The short-run dynamics of loan demand for the euro area are subsequently modelled by means of a Vector Error Correction Model (VECM). We perform a number of specification tests, which suggest that developments in loans to non-financial corporations in the euro area can be reasonably explained by the model. We then use the estimated model to analyse the impact of permanent and temporary shocks to the policy rate on bank lending to nonfinancial corporations. JEL Classification: C32, C51
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Date of creation: Jan 2009
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- Christoffer Kok SÃ¸rensen & David MarquÃ©s IbÃ¡Ã±ez & Carlotta Rossi, 2012. "Modelling loans to non-financial corporations in the euro area," Temi di discussione (Economic working papers) 857, Bank of Italy, Economic Research and International Relations Area.
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
This paper has been announced in the following NEP Reports:
- NEP-ALL-2009-01-10 (All new papers)
- NEP-BAN-2009-01-10 (Banking)
- NEP-CBA-2009-01-10 (Central Banking)
- NEP-EEC-2009-01-10 (European Economics)
- NEP-MAC-2009-01-10 (Macroeconomics)
- NEP-MON-2009-01-10 (Monetary Economics)
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