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Determinants of credit to households in a life-cycle model

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  • Rubaszek, Michał
  • Serwa, Dobromil

Abstract

This paper applies a life-cycle model with individual income uncertainty to investigate the determinants of credit to households. We show that the value of household credit to GDP ratio depends on (i) the lending-deposit interest rate spread, (ii) individual income uncertainty, (iii) individual productivity persistence, and (iv) the generosity of the pension system. Subsequently, we provide empirical evidence for the predictions of the theoretical model on the basis of data for OECD and EU countries. JEL Classification: E21, E43, E51

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Bibliographic Info

Paper provided by European Central Bank in its series Working Paper Series with number 1420.

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Date of creation: Feb 2012
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Handle: RePEc:ecb:ecbwps:20121420

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Keywords: banking sector; Household credit; life cycle economies;

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Citations

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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. Dobromil Serwa, 2011. "Identifying multiple regimes in the model of credit to households," National Bank of Poland Working Papers 99, National Bank of Poland, Economic Institute.
  3. Nadja König & Ingrid Größl, 2014. "Catching up with the Joneses and Borrowing Constraints: An Agent-based Analysis of Household Debt," Macroeconomics and Finance Series 201404, Hamburg University, Department Wirtschaft und Politik.

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