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.
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- 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
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- Waters, George A., 2012. "Quantity rationing of credit," Research Discussion Papers 3/2012, Bank of Finland.
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- 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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