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Supply and Demand Identification in the Credit Market

Author

Listed:
  • Mauricio Calani C.
  • Pablo García S.
  • Daniel Oda Z.

Abstract

This paper identifies supply and demand functions in the Chilean credit market. The analysis divides credit into three categories by debtor type, namely consumption, commercial and housing loans. We successfully exploit novel bank-level data on non-price covenants to address the simultaneous equation endogeneity problem in the estimation of interest rate elasticities. Our truly unique panel data set covers the 2003-2009 period and combines information on loan amount allocation, interest rates, balance sheet indicators with information from the “Survey on General Conditions and Standards in the Credit Market”, conducted by the Central Bank of Chile since 2003. Additionally, we characterize the statistical determinants of the survey responses, and later we use our estimation results for understanding the credit contraction episode of the second half of 2008, during the global financial turmoil.

Suggested Citation

  • Mauricio Calani C. & Pablo García S. & Daniel Oda Z., 2010. "Supply and Demand Identification in the Credit Market," Working Papers Central Bank of Chile 571, Central Bank of Chile.
    • Handle: RePEc:chb:bcchwp:571
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    File URL: https://www.bcentral.cl/documents/33528/133326/DTBC_571.pdf
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    Cited by:

    1. International Monetary Fund, 2010. "Panama: Selected Issues Paper," IMF Staff Country Reports 2010/315, International Monetary Fund.
    2. Valya Vasileva, 2019. "Development Of Consumer Lending By Non- Bank Credit Companies In Bulgaria," Economic Archive, D. A. Tsenov Academy of Economics, Svishtov, Bulgaria, issue 1 Year 20, pages 65-76.
    3. Barbi, Fernando C., 2014. "Determinants of Credit Expansion in Brazil," MPRA Paper 19535, University Library of Munich, Germany, revised 13 Sep 2014.
    4. Fadejeva, Ludmila & Feldkircher, Martin & Reininger, Thomas, 2017. "International spillovers from Euro area and US credit and demand shocks: A focus on emerging Europe," Journal of International Money and Finance, Elsevier, vol. 70(C), pages 1-25.
    5. Alejandro Jara & Juan-Francisco Martínez & Daniel Oda, 2017. "Bank’s Lending Growth in Chile: The Role of the Senior Loan Officers Survey," Working Papers Central Bank of Chile 802, Central Bank of Chile.
    6. Deryugina, Elena B. & Ponomarenko, Alexey A., 2011. "Identifying structural shocks behind loan supply fluctuations in Russia," BOFIT Discussion Papers 20/2011, Bank of Finland, Institute for Economies in Transition.
    7. repec:zbw:bofitp:2011_020 is not listed on IDEAS
    8. Ludmila Fadejeva & Martin Feldkircher & Thomas Reininger, 2014. "International Transmission of Credit Shocks: Evidence from Global Vector Autoregression Model," Working Papers 2014/05, Latvijas Banka.
    9. Stefan Behrendt, 2016. "Determinants of lending activity in the Euro area," Jena Economics Research Papers 2016-017, Friedrich-Schiller-University Jena.
    10. Daniel Oda & Fernando Sepúlveda, 2014. "Uncovering Our Self-Imposed Limits: Changes in Loan-to-Value and The Mortgage Market," Working Papers Central Bank of Chile 737, Central Bank of Chile.

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