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Modeling Credit Aggregates

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Abstract

The purpose of this paper is to model both loans to households and to non-financial corporations as well as their relation to interest rates and demand variables for Austria, Germany, the Netherlands and the United Kingdom. Credit aggregates are modeled using a Markov-switching vector autoregressive model, which allows testing as to whether shocks to the economy have stronger effects during tight credit regimes or economic downturns. The analysis of the above-mentioned countries makes it possible to assess the differences in the amplifying and asymmetric effects of credit aggregates between marketbased and bank-based financial systems.

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Bibliographic Info

Paper provided by Oesterreichische Nationalbank (Austrian Central Bank) in its series Working Papers with number 90.

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Length: 58
Date of creation: 20 Sep 2004
Date of revision:
Handle: RePEc:onb:oenbwp:90

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Keywords: Asymmetry and amplification; credit aggregates; market-based and bank-based financial systems;

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Citations

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Cited by:
  1. Johann Burgstaller, 2010. "Bank Lending and Monetary Policy Transmission in Austria," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), Justus-Liebig University Giessen, Department of Statistics and Economics, vol. 230(2), pages 163-185.
  2. Hans Genberg, 2006. "Exchange-Rate Arrangements and Financial Integration in East Asia: On a Collision Course?," Working Papers 152006, Hong Kong Institute for Monetary Research.
  3. Sven W. Arndt, 2006. "Regional Currency Arrangements in North America," Working Papers 40, Bank of Greece.
  4. Sylvia Kaufmann & Maria Teresa Valderrama, 2008. "Bank lending in Germany and the UK: are there differences between a bank-based and a market-based country?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 13(3), pages 266-279.
  5. repec:onb:oenbwp:y::i:103:b:1 is not listed on IDEAS
  6. Kaufmann, Sylvia & Valderrama, Maria Teresa, 2007. "The role of credit aggregates and asset prices in the transmission mechanism: a comparison between the euro area and the US," Working Paper Series 0816, European Central Bank.
  7. Sylvia Kaufmann & Peter Kugler, 2005. "Does Money Matter for Inflation in the Euro Area?," Working Papers 103, Oesterreichische Nationalbank (Austrian Central Bank).

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