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An Analysis of Credit to the Household Sector in Austria

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Abstract

This article provides an econometric analysis of the determinants of the aggregate level of credit to the household sector in Austria. These are our most important results: An error correction model explaining real credit shows that the development of this variable has been in line with fundamental macro data in the last years. Thus, contrary to what could be observed for the euro area as a whole, there has been no loan overhang or shortfall over the last years in Austria. A growth decomposition shows that the largest contribution to real credit growth comes from real GDP. Furthermore, in our case, univariate models are doing better in forecasting real credit than vector error correction models.

Suggested Citation

  • Friedrich Fritzer & Lukas Reiss, 2008. "An Analysis of Credit to the Household Sector in Austria," Financial Stability Report, Oesterreichische Nationalbank (Austrian Central Bank), issue 16, pages 122-134.
  • Handle: RePEc:onb:oenbfs:y:2008:i:16:b:4
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    File URL: https://www.oenb.at/dam/jcr:19347f5a-5193-4c97-b7d9-7b2ee162c854/fsr_16_special_topics_04_tcm16-95423.pdf
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    Cited by:

    1. Sophocles N. Brissimis & Eugenie N. Garganas & Stephen G. Hall, 2014. "Consumer credit in an era of financial liberalization: an overreaction to repressed demand?," Applied Economics, Taylor & Francis Journals, vol. 46(2), pages 139-152, January.
    2. repec:pra:mprapa:40579 is not listed on IDEAS

    More about this item

    Keywords

    Loan overhang; household debt; time-series models;

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • E51 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Money Supply; Credit; Money Multipliers

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