Quantity versus Price Rationing of Credit: An Empirical Test
One proxy of price rationing of credit is an aggregation of information on interest rates, while loan officer survey data measures quantity rationing of credit, meaning some borrowers are denied loans. The latter Granger causes real GDP but the former does not. The loan officer survey is a better leading indicator of credit market conditions that affect real activity.
References listed on IDEAS
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- Lown, Cara & Morgan, Donald P., 2006.
"The Credit Cycle and the Business Cycle: New Findings Using the Loan Officer Opinion Survey,"
Journal of Money, Credit and Banking,
Blackwell Publishing, vol. 38(6), pages 1575-1597, September.
- Lown, Cara & Morgan, Donald P., 2004. "The Credit Cycle and the Business Cycle: New Findings Using the Loan Officer Opinion Survey," SIFR Research Report Series 27, Institute for Financial Research.
- Sirio Aramonte & Samuel Rosen & John W. Schindler, 2013. "Assessing and combining financial conditions indexes," Finance and Economics Discussion Series 2013-39, Board of Governors of the Federal Reserve System (U.S.).
- Estrella, Arturo & Mishkin, Frederic S., 1997. "The predictive power of the term structure of interest rates in Europe and the United States: Implications for the European Central Bank," European Economic Review, Elsevier, vol. 41(7), pages 1375-1401, July.
- Waters, George A., 2012.
"Quantity rationing of credit,"
Research Discussion Papers
3/2012, Bank of Finland.
- Kliesen, Kevin L. & Owyang, Michael T. & Vermann, E. Katarina, 2012. "Disentangling diverse measures: a survey of financial stress indexes," Review, Federal Reserve Bank of St. Louis, issue Sep, pages 369-398.
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