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Modeling Credit Aggregates

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Author Info
Sylvia Kaufmann () (Oesterreichische Nationalbank, Economic Studies Division, Otto-Wagner Platz 3, POB 61, A-1011 Vienna)
Maria Teresa Valderrama () (Oesterreichische Nationalbank, Economic Analysis Division)

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

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

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Postal: P.O. Box 61, A-1011 Vienna, Austria
Phone: +43/1/404 20 7205
Fax: +43/1/404 20 7299
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Web page: http://www.oenb.at/
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Postal: Oesterreichische Nationalbank, Economic Studies Division, c/o Beate Hofbauer-Berlakovich, POB 61, A-1011 Vienna, Austria
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Related research
Keywords: Asymmetry and amplification credit aggregates market-based and bank-based financial systems

Other versions of this item:

Find related papers by JEL classification:
C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models
E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
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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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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    Other versions:
Full references

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Peter Kugler & Sylvia Kaufmann, 2005. "Does Money Matter for Inflation in the Euro Area?," Working Papers 103, Oesterreichische Nationalbank (Austrian Central Bank). [Downloadable!]
  2. Sylvia Kaufmann & Maria Teresa Valderrama, 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 816, European Central Bank. [Downloadable!]
  3. 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. [Downloadable!]
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