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State Dependence in Access to Credit

Author

Listed:
  • Claudia Pigini

    (Universit… di Perugia)

  • Andrea Filippo Presbitero

    (International Monetary Fund, Universit… Politecnica delle Marche - MoFiR)

  • Alberto Zazzaro

    (Universit… Politecnica delle Marche, MoFiR)

Abstract

We present a simple theory and an empirical test for state dependence in firm access to credit. We estimate a first-order Markov model of credit restriction with sample selection that makes it possible to estimate state dependence in the presence of feedback effects and observed and unobserved heterogeneity. The results, based on a representative sample of Italian firms, show that state dependence in access to credit is a statistical and economically significant: experiencing a credit restriction in the past has a negative impact on the outcome of the current loan application and the decision to apply for a new loan.

Suggested Citation

  • Claudia Pigini & Andrea Filippo Presbitero & Alberto Zazzaro, 2014. "State Dependence in Access to Credit," Mo.Fi.R. Working Papers 102, Money and Finance Research group (Mo.Fi.R.) - Univ. Politecnica Marche - Dept. Economic and Social Sciences.
    • Handle: RePEc:anc:wmofir:102
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    9. Francesco Bartolucci & Valentina Nigro & Claudia Pigini, 2018. "Testing for state dependence in binary panel data with individual covariates by a modified quadratic exponential model," Econometric Reviews, Taylor & Francis Journals, vol. 37(1), pages 61-88, January.
    10. Ferrando, Annalisa & Popov, Alexander & Udell, Gregory F., 2015. "Sovereign stress, unconventional monetary policy, and SME access to finance," Working Paper Series 1820, European Central Bank.
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    More about this item

    Keywords

    Credit constraints; Discouraged borrowers; First-order Markov model; State dependence;
    All these keywords.

    JEL classification:

    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
    • C35 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions
    • F33 - International Economics - - International Finance - - - International Monetary Arrangements and Institutions
    • F34 - International Economics - - International Finance - - - International Lending and Debt Problems
    • F35 - International Economics - - International Finance - - - Foreign Aid
    • O11 - Economic Development, Innovation, Technological Change, and Growth - - Economic Development - - - Macroeconomic Analyses of Economic Development

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