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State dependence in access to credit

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  • Pigini, Claudia
  • Presbitero, Andrea F.
  • Zazzaro, Alberto

Abstract

This paper investigates whether firms’ access to credit is characterized by state dependence. We introduce a first-order Markov model of credit restriction with sample selection that makes it possible to identify state dependence in presence of unobserved heterogeneity. The results, based on a representative sample of Italian firms, show that state dependence in access to credit is a statistically and economically significant phenomenon and that this is more prominent among medium-large firms.

Suggested Citation

  • Pigini, Claudia & Presbitero, Andrea F. & Zazzaro, Alberto, 2016. "State dependence in access to credit," Journal of Financial Stability, Elsevier, vol. 27(C), pages 17-34.
  • Handle: RePEc:eee:finsta:v:27:y:2016:i:c:p:17-34
    DOI: 10.1016/j.jfs.2016.08.003
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    Cited by:

    1. repec:eee:jbfina:v:81:y:2017:i:c:p:65-80 is not listed on IDEAS
    2. Ferrando, Annalisa & Popov, Alexander & Udell, Gregory F., 2015. "Sovereign stress, unconventional monetary policy, and SME access to finance," Working Paper Series 1820, European Central Bank.
    3. Gregory F Udell, 2015. "SME Access to Intermediated Credit: What Do We Know and What Don't We Know?," RBA Annual Conference Volume,in: Angus Moore & John Simon (ed.), Small Business Conditions and Finance Reserve Bank of Australia.
    4. Lucchetti, Riccardo & Pigini, Claudia, 2017. "DPB: Dynamic Panel Binary Data Models in gretl," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 79(i08).
    5. repec:eee:ecmode:v:64:y:2017:i:c:p:513-523 is not listed on IDEAS
    6. repec:eee:finsta:v:31:y:2017:i:c:p:136-153 is not listed on IDEAS
    7. Francesco Bartolucci & Claudia Pigini, 2017. "Granger causality in dynamic binary short panel data models," Working Papers 421, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.

    More about this item

    Keywords

    Credit constraints; State dependence; Discouraged borrowers; First-order Markov model;

    JEL classification:

    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
    • C35 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions
    • F33 - International Economics - - International Finance - - - International Monetary Arrangements and Institutions
    • F34 - International Economics - - International Finance - - - International Lending and Debt Problems
    • F35 - International Economics - - International Finance - - - Foreign Aid

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