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A micro data approach to the identification of credit crunches

  • Horst Rottmann
  • Timo Wollmersh�user

This article presents a micro data approach to the identification of credit crunches. Using a survey among German firms which regularly queries the firms' assessment of the current willingness of banks to extend credit, we estimate the probability of a restrictive loan supply policy by time taking into account the creditworthiness of borrowers. Creditworthiness is approximated by firm-specific factors, e.g. the firms' assessment of their current business situation and their business expectations. After controlling for the return on the banks' risk-free investment alternative, which is also likely to affect the supply of loans, we derive a credit crunch indicator, which measures that part of the shift in the loan supply that is neither explained by firm-specific factors nor by the opportunity costs of providing risky loans.

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File URL: http://hdl.handle.net/10.1080/00036846.2012.665604
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Article provided by Taylor & Francis Journals in its journal Applied Economics.

Volume (Year): 45 (2013)
Issue (Month): 17 (June)
Pages: 2423-2441

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Handle: RePEc:taf:applec:45:y:2013:i:17:p:2423-2441
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