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A micro data approach to the identification of credit crunches

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  • Wollmershäuser, Timo
  • Rottmann, Horst

Abstract

This paper presents a micro data approach to the identification of credit crunches. Using a survey among German firms which regularly queries the firms' assessment of the current willingness of banks to extend credit we estimate the probability of a restrictive credit supply policy by time taking into account the creditworthiness of borrowers. Creditworthiness is approximated by firm-specific factors, e.g. the firms' assessment of their current business situation and their business expectations. After controlling for the banks' refinancing costs, which are also likely to affect the supply of loans, we derive a credit crunch indicator, which measures that part of the shift in the willingness to lend that is neither explained by firm-specific factors nor by refinancing costs. --

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Bibliographic Info

Paper provided by University of Applied Sciences Amberg-Weiden (OTH) in its series OTH im Dialog: Weidener Diskussionspapiere with number 24.

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Date of creation: 2010
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Handle: RePEc:zbw:hawdps:24

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Web page: http://www.oth-aw.de/

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Keywords: credit crunch; loan supply; surveys; nonlinear binary outcome panel-data models;

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Cited by:
  1. Olga Bohachova & Bernhard Boockmann & Claudia M. Buch, 2011. "Labor Demand During the Crisis: What Happened in Germany?," CESifo Working Paper Series 3625, CESifo Group Munich.
  2. May Elsayyad & Kai A. Konrad, 2010. "Fighting Multiple Tax Havens," CESifo Working Paper Series 3195, CESifo Group Munich.
  3. Gabriel J. Felbermayr & Gilbert Spiegel, 2012. "A Simple Theory of Trade, Finance, and Firm Dynamics," CESifo Working Paper Series 3873, CESifo Group Munich.
  4. Anja Hönig, 2010. "Linkage of Ifo Survey and Balance-Sheet Data: The EBDC Business Expectations Panel & the EBDC Business Investment Panel," Schmollers Jahrbuch : Journal of Applied Social Science Studies / Zeitschrift für Wirtschafts- und Sozialwissenschaften, Duncker & Humblot, Berlin, Duncker & Humblot, Berlin, vol. 130(4), pages 635-642.
  5. Christian Seiler, 2012. "The Data Sets of the LMU-ifo Economics & Business Data Center – A Guide for Researchers," Schmollers Jahrbuch : Journal of Applied Social Science Studies / Zeitschrift für Wirtschafts- und Sozialwissenschaften, Duncker & Humblot, Berlin, Duncker & Humblot, Berlin, vol. 132(4), pages 609-618.
  6. Kremp, Elizabeth & Sevestre, Patrick, 2013. "Did the crisis induce credit rationing for French SMEs?," Journal of Banking & Finance, Elsevier, Elsevier, vol. 37(10), pages 3757-3772.
  7. Artem Marjenko & Stefan Sauer & Klaus Wohlrabe, 2012. "Die Kredithürde: Deutsche Firmen trotz Eurokrise ohne Finanzierungsprobleme," Ifo Schnelldienst, Ifo Institute for Economic Research at the University of Munich, vol. 65(19), pages 42-46, October.
  8. Christian Seiler, 2013. "Nonresponse in Business Tendency Surveys: Theoretical Discourse and Empirical Evidence," ifo Beiträge zur Wirtschaftsforschung, Ifo Institute for Economic Research at the University of Munich, Ifo Institute for Economic Research at the University of Munich, number 52, 8.
  9. Giancarlo Corsetti & Michael P. Devereux & Luigi Guiso & John Hassler & Gilles Saint-Paul & Hans-Werner Sinn & Jan-Egbert Sturm & Xavier Vives, 2010. "Chapter 1: The European Economy: Macroeconomic outlook," EEAG Report on the European Economy, CESifo Group Munich, CESifo Group Munich, vol. 0, pages 11-51, 02.
  10. Torsten Schmidt & Lina Zwick, 2012. "In Search for a Credit Crunch in Germany," Ruhr Economic Papers, Rheinisch-Westfälisches Institut für Wirtschaftsforschung, Ruhr-Universität Bochum, Universität Dortmund, Universität Duisburg-Essen 0361, Rheinisch-Westfälisches Institut für Wirtschaftsforschung, Ruhr-Universität Bochum, Universität Dortmund, Universität Duisburg-Essen.

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