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Identifying multiple regimes in the model of credit to households

  • Serwa, Dobromił

This research proposes a new method to identify the differing states of the market with respect to lending to households. We use an econometric multi-regime regression model where each regime is associated with a different economic state of the credit market (i.e. a normal regime or a boom regime). The credit market alternates between regimes when some specific variable increases above or falls below the estimated threshold level. A novel method for estimating multi-regime threshold regression models for dynamic panel data is also employed.

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Article provided by Elsevier in its journal International Review of Economics & Finance.

Volume (Year): 27 (2013)
Issue (Month): C ()
Pages: 198-208

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Handle: RePEc:eee:reveco:v:27:y:2013:i:c:p:198-208
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