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Application of a simple nonparametric conditional quantile function estimator in unemployment duration analysis

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Wichert, Laura
Wilke, Ralf A.

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Abstract

The paper analyses the potential impact of stock market developments on lending behaviour from different perspectives. First we scrutinize the impact of stock market movements on the banks? and on the borrowers? balance sheets. Subsequently we estimate aggregate credit supply and demand functions including a stock market indicator as explanatory variable. The analysis reveals no major importance of the bank balance sheet channel for the relationship between stock market volatility and corporate financing possibilities of non-financial companies. A possible impact of stock market movements on banks´ lending behaviour might be rooted in their impact on the balance sheets of corporate borrowers. The empirical results of the credit market analysis yield some confirming evidence for an impact of stock market developments. However, the results are not very stable and depend on the specification of the model and on the time period under observation. --

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Paper provided by ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research in its series ZEW Discussion Papers with number 05-67.

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Date of creation: 2005
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Handle: RePEc:zbw:zewdip:4574

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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. Lechner, Michael, . "Eine empirische Analyse der Geburtenentwicklung in den neuen Bundesländern," IVS discussion paper series 551, Institut für Volkswirtschaft und Statistik (IVS), University of Mannheim. [Downloadable!]
  2. Bernd Fitzenberger & Ralf A. Wilke, 2007. "New Insights on Unemployment Duration and Post Unemployment Earnings in Germany: Censored Box-Cox Quantile Regression at Work," IZA Discussion Papers 2609, Institute for the Study of Labor (IZA). [Downloadable!]
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  3. Martin Biewen & Ralf Wilke, 2005. "Unemployment duration and the length of entitlement periods for unemployment benefits: do the IAB employment subsample and the German Socio-Economic Panel yield the same results?," AStA Advances in Statistical Analysis, Springer, vol. 89(2), pages 209-236, June. [Downloadable!] (restricted)
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  4. Koenker R. & Geling O., 2001. "Reappraising Medfly Longevity: A Quantile Regression Survival Analysis," Journal of the American Statistical Association, American Statistical Association, vol. 96, pages 458-468, June. [Downloadable!] (restricted)
  5. Fitzenberger, Bernd & Wilke, Ralf A., 2004. "Unemployment Durations in West-Germany Before and After the Reform of the Unemployment Compensation System During the 1980s," ZEW Discussion Papers 04-24, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research. [Downloadable!]
  6. Bernd Fitzenberger & Ralf Wilke, 2006. "Using quantile regression for duration analysis," AStA Advances in Statistical Analysis, Springer, vol. 90(1), pages 105-120, March. [Downloadable!] (restricted)
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  7. Dabrowska, D. M., 1995. "Nonparametric Regression with Censored Covariates," Journal of Multivariate Analysis, Elsevier, vol. 54(2), pages 253-283, August. [Downloadable!] (restricted)
  8. Yannis Bilias & Roger Koenker, 2001. "Quantile regression for duration data: A reappraisal of the Pennsylvania Reemployment Bonus Experiments," Empirical Economics, Springer, vol. 26(1), pages 199-220. [Downloadable!] (restricted)
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(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. Bernd Fitzenberger & Ralf A. Wilke, 2007. "New Insights on Unemployment Duration and Post Unemployment Earnings in Germany: Censored Box-Cox Quantile Regression at Work," IZA Discussion Papers 2609, Institute for the Study of Labor (IZA). [Downloadable!]
    Other versions:
  2. Arntz, Melanie & Wilke, Ralf A & Winterhager, Henrik, 2006. "Regionenmatching im Rahmen der Evaluation der Experimentierungsklausel des § 6c SGB II : methodische Vorgehensweise und Ergebnisse," ZEW Discussion Papers 06-61, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research. [Downloadable!]
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