Bank lending in Germany and the UK: are there differences between a bank-based and a market-based country?
We estimate Markov switching vector autoregressive systems for loans to firms and loans to households to investigate their relationship to interest rates and investment and consumption, respectively. We find evidence for different reactions of lending to shocks in real variables and interest rates across regimes both within countries and across countries for a given regime. We find evidence for a procyclical effect of lending during specific growth periods in both countries. Copyright © 2007 John Wiley & Sons, Ltd.
Volume (Year): 13 (2008)
Issue (Month): 3 ()
|Contact details of provider:|| Web page: http://www.interscience.wiley.com/jpages/1076-9307/|
|Order Information:||Web: http://jws-edcv.wiley.com/jcatalog/JournalsCatalogOrder/JournalOrder?PRINT_ISSN=1076-9307|
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.:
- Luigi Zingales & Raghuram G. Rajan, 2003.
"Banks and Markets: The Changing Character of European Finance,"
NBER Working Papers
9595, National Bureau of Economic Research, Inc.
- Rajan, Raghuram G & Zingales, Luigi, 2003. "Banks and Markets: the Changing Character of European Finance," CEPR Discussion Papers 3865, C.E.P.R. Discussion Papers.
- Mojon, Benoît & Kashyap, Anil K. & Angeloni, Ignazio & Terlizzese, Daniele, 2002. "Monetary Transmission in the Euro Area : Where Do We Stand?," Working Paper Series 0114, European Central Bank.
- Alessandra Guariglia, .
"The Effects of Financial Constraints on Inventory Investment: Evidence from a Panel of UK Firms,"
Economics Discussion Papers
462, University of Essex, Department of Economics.
- Guariglia, Alessandra, 1999. "The Effects of Financial Constraints on Inventory Investment: Evidence from a Panel of UK Firms," Economica, London School of Economics and Political Science, vol. 66(261), pages 43-62, February.
- J. B. Chatelain & Andrea Generale & I. Hernando & U. von Kalckreuth & P. Vermeulen, 2001.
"Firm investment and monetary transmission in the euro area,"
Temi di discussione (Economic working papers)
431, Bank of Italy, Economic Research and International Relations Area.
- Chatelain, Jean-Bernard & Generale, Andrea & Hernando, Ignacio & Von Kalckreuth, Ulf & Vermeulen, Philip, 2001. "Firm investment and monetary transmission in the euro area," Working Paper Series 0112, European Central Bank.
- Boissay, Frédéric, 2001. "Credit rationing, output gap, and business cycles," Working Paper Series 0087, European Central Bank.
- Simon Hall, 2001. "Financial accelerator effects in UK business cycles," Bank of England working papers 150, Bank of England.
- Harhoff, Dietmar & Körting, Timm, 1998.
"Lending Relationships in Germany: Empirical Results from Survey Data,"
CEPR Discussion Papers
1917, C.E.P.R. Discussion Papers.
- Dietmar Harhoff & Timm Körting, 1998. "Lending Relationships in Germany: Empirical Results from Survey Data," CIG Working Papers FS IV 98-06, Wissenschaftszentrum Berlin (WZB), Research Unit: Competition and Innovation (CIG).
- Claudio Borio & William R. White, 2003.
"Whither monetary and financial stability : the implications of evolving policy regimes,"
Proceedings - Economic Policy Symposium - Jackson Hole,
Federal Reserve Bank of Kansas City, pages 131-211.
- William R. White & Claudio E. V. Borio, 2004. "Whither monetary and financial stability? the implications of evolving policy regimes," BIS Working Papers 147, Bank for International Settlements.
- Sylvia Fruhwirth-Schnatter, 2004. "Estimating marginal likelihoods for mixture and Markov switching models using bridge sampling techniques," Econometrics Journal, Royal Economic Society, vol. 7(1), pages 143-167, 06.
- Narayana R. Kocherlakota, 2000. "Creating business cycles through credit constraints," Quarterly Review, Federal Reserve Bank of Minneapolis, issue Sum, pages 2-10.
- Stiglitz, Joseph E & Weiss, Andrew, 1981. "Credit Rationing in Markets with Imperfect Information," American Economic Review, American Economic Association, vol. 71(3), pages 393-410, June.
- Vermeulen, Philip, 2000.
"Business fixed investment: evidence of a financial accelerator in Europe,"
Working Paper Series
0037, European Central Bank.
- Vermeulen, Philip, 2002. " Business Fixed Investment: Evidence of a Financial Accelerator in Europe," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 64(3), pages 217-35, July.
- Chib, Siddhartha, 1996. "Calculating posterior distributions and modal estimates in Markov mixture models," Journal of Econometrics, Elsevier, vol. 75(1), pages 79-97, November.
- Ashoka Mody & Mark P. Taylor, 2003. "The High-Yield Spread as a Predictor of Real Economic Activity: Evidence of a Financial Accelerator for the United States," IMF Staff Papers, Palgrave Macmillan, vol. 50(3), pages 3.
- Koop, Gary & Pesaran, M. Hashem & Potter, Simon M., 1996. "Impulse response analysis in nonlinear multivariate models," Journal of Econometrics, Elsevier, vol. 74(1), pages 119-147, September.
- Scheinkman, Jose A & Weiss, Laurence, 1986. "Borrowing Constraints and Aggregate Economic Activity," Econometrica, Econometric Society, vol. 54(1), pages 23-45, January.
- Elsas, Ralf & Krahnen, Jan Pieter, 1998.
"Is relationship lending special? Evidence from credit-file data in Germany,"
Journal of Banking & Finance,
Elsevier, vol. 22(10-11), pages 1283-1316, October.
- Elsas, Ralf & Krahnen, Jan Pieter, 1998. "Is relationship lending special? Evidence from credit-file data in Germany," CFS Working Paper Series 1998/05, Center for Financial Studies (CFS).
- Robert S. Chirinko & Julie Ann Elston, 1996.
"Banking relationships in Germany: empirical results and policy implications,"
507, Federal Reserve Bank of Chicago.
- Robert S. Chirinko & Julie Ann Elston, 1996. "Banking relationships in Germany: empirical results and policy implications," Research Working Paper 96-05, Federal Reserve Bank of Kansas City.
- Sylvia Kaufmann & Maria Teresa Valderrama, 2004. "Modeling Credit Aggregates," Working Papers 90, Oesterreichische Nationalbank (Austrian Central Bank).
- Azariadis, Costas & Smith, Bruce, 1998. "Financial Intermediation and Regime Switching in Business Cycles," American Economic Review, American Economic Association, vol. 88(3), pages 516-36, June.
- Petersen, Mitchell A & Rajan, Raghuram G, 1994. " The Benefits of Lending Relationships: Evidence from Small Business Data," Journal of Finance, American Finance Association, vol. 49(1), pages 3-37, March.
- L. Wade, 1988. "Review," Public Choice, Springer, vol. 58(1), pages 99-100, July.
- Boot, Arnoud W. A., 2000. "Relationship Banking: What Do We Know?," Journal of Financial Intermediation, Elsevier, vol. 9(1), pages 7-25, January.
- Claudio E. V. Borio & Philip Lowe, 2004. "Securing sustainable price stability: should credit come back from the wilderness?," BIS Working Papers 157, Bank for International Settlements.
When requesting a correction, please mention this item's handle: RePEc:ijf:ijfiec:v:13:y:2008:i:3:p:266-279. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing)or (Christopher F. Baum)
If references are entirely missing, you can add them using this form.