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Listening to the Market: Estimating Credit Demand and Supply from Survey Data

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Author Info
Satoru Kanoh
Chakkrit Pumpaisanchai
Abstract

The literature referring to the credit slowdown has been plagued by the identification problem of whether a decline in a bank's credit is derived from the demand or the supply side. This paper proposes an original approach in directly estimating the credit demand and the credit supply from survey data. Using the TANKAN and the recently published Senior Loan Officer survey data, the paper demonstrates that the observed lending amount did not change much during the period of study; however, the observed lending amount deviated, as one might expect, from the estimated credit demand and credit supply for every firm size. This credit mismatch presents evidence of credit market imperfections and is of interest for further investigation as a possible explanation of firms' liquidity constraints and banks' lending mechanisms.

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File URL: http://hi-stat.ier.hit-u.ac.jp/research/discussion/2005/pdf/D05-137.pdf
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Paper provided by Institute of Economic Research, Hitotsubashi University in its series Hi-Stat Discussion Paper Series with number d05-137.

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Date of creation: Feb 2006
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Handle: RePEc:hst:hstdps:d05-137

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Related research
Keywords: Credit demand; Credit supply; Survey data; Japanese Economy;

Find related papers by JEL classification:
C42 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Survey Methods
C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
E10 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - General
O53 - Economic Development, Technological Change, and Growth - - Economywide Country Studies - - - Asia including Middle East

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References listed on IDEAS
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  1. Peek, Joe & Rosengren, Eric, 1995. "Bank regulation and the credit crunch," Journal of Banking & Finance, Elsevier, vol. 19(3-4), pages 679-692, June. [Downloadable!] (restricted)
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  2. Ben S. Bernanke, 1993. "Credit in the macroeconomy," Quarterly Review, Federal Reserve Bank of New York, issue Spr, pages 50-70.
  3. Hart, Oliver & Moore, John, 1994. "A Theory of Debt Based on the Inalienability of Human Capital," The Quarterly Journal of Economics, MIT Press, vol. 109(4), pages 841-79, November. [Downloadable!] (restricted)
    Other versions:
  4. Mark Gertler & Simon Gilchrist, 1991. "Monetary Policy, Business Cycles and the Behavior of Small Manufacturing Firms," NBER Working Papers 3892, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  5. Gertler, Mark & Gilchrist, Simon, 1993. " The Role of Credit Market Imperfections in the Monetary Transmission Mechanism: Arguments and Evidence," Scandinavian Journal of Economics, Blackwell Publishing, vol. 95(1), pages 43-64.
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  6. Cara S. Lown & Donald P. Morgan, 2002. "Credit effects in the monetary mechanism," Economic Policy Review, Federal Reserve Bank of New York, issue May, pages 217-235. [Downloadable!]
  7. Kashyap, Anil K & Stein, Jeremy C & Wilcox, David W, 1993. "Monetary Policy and Credit Conditions: Evidence from the Composition of External Finance," American Economic Review, American Economic Association, vol. 83(1), pages 78-98, March. [Downloadable!] (restricted)
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  8. Jesper Berg & Annalisa Ferrando & Gabe de Bondt & Silvia Scopel, 2005. "The bank lending survey for the euro area," Occasional Paper Series 23, European Central Bank. [Downloadable!]
  9. Diamond, Peter, 1990. "Pairwise Credit in Search Equilibrium," The Quarterly Journal of Economics, MIT Press, vol. 105(2), pages 285-319, May. [Downloadable!] (restricted)
  10. Allen N. Berger & Gregory F. Udell, 1994. "Did risk-based capital allocate bank credit and cause a "credit crunch" in the United States?," Proceedings, Federal Reserve Bank of Cleveland, pages 585-633.
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  11. Peek, Joe & Rosengren, Eric, 1995. "The Capital Crunch: Neither a Borrower nor a Lender Be," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 27(3), pages 625-38, August. [Downloadable!] (restricted)
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