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Aggregate loans to the euro area private sector

  • Calza, Alessandro
  • Manrique, Marta
  • Sousa, João

This paper provides new evidence on the behaviour of euro area aggregate loans to the private sector. Using a sample covering the last twenty years, a cointegrating vector linking the real stock of loans to a small set of domestic macroeconomic variables is found. Besides real GDP and prices, this set includes a new measure of the cost of loans obtained as a weighted average of bank lending rates. The results are overall encouraging, though the recursive estimates of the long-run parameters suggest that in 2000 some disturbances, probably of a temporary nature, affected the system. The study then addresses the issue of the leading indicator properties of loans. It finds that the deviations of the real stock of loans from the equilibrium level implied by the model seem to contain information on future changes in inflation, though not on its level. JEL Classification: C32, C51

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Paper provided by European Central Bank in its series Working Paper Series with number 0202.

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Date of creation: Jan 2003
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Handle: RePEc:ecb:ecbwps:20030202
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  2. Sevestre, Patrick & Martinez-Pages, Jorge & Gambacorta, Leonardo & Ehrmann, Michael & Worms, Andreas, 2001. "Financial systems and the role of banks in monetary policy transmission in the euro area," Discussion Paper Series 1: Economic Studies 2001,18, Deutsche Bundesbank, Research Centre.
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  7. de Bondt, Gabe, 2002. "Euro area corporate debt securities market: first empirical evidence," Working Paper Series 0164, European Central Bank.
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  12. Hamilton, James D & Kim, Dong Heon, 2002. "A Reexamination of the Predictability of Economic Activity Using the Yield Spread," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 34(2), pages 340-60, May.
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  16. 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.
  17. Johansen, Søren & Juselius, Katarina, 1992. "Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK," Journal of Econometrics, Elsevier, vol. 53(1-3), pages 211-244.
  18. Fase, M. M. G. & Kramer, P. & Boeschoten, W. C., 1992. "MORKMON II : The Nederlandsche Bank's quarterly model of the Netherlands economy," Economic Modelling, Elsevier, vol. 9(2), pages 146-204, April.
  19. James G. MacKinnon, 1990. "Critical Values for Cointegration Tests," Working Papers 1227, Queen's University, Department of Economics.
  20. Jan Kakes, 2000. "Identifying the mechanism: is there a bank lending channel of monetary transmission in the Netherlands?," Applied Economics Letters, Taylor & Francis Journals, vol. 7(2), pages 63-67.
  21. Claus Brand & Dieter Gerdesmeier & Barbara Roffia, 2002. "Estimating the trend of M3 income velocity underlying the reference value for monetary growth," Occasional Paper Series 03, European Central Bank.
  22. Osterwald-Lenum, Michael, 1992. "A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 54(3), pages 461-72, August.
  23. Fase, M. M. G., 1995. "The demand for commercial bank loans and the lending rate," European Economic Review, Elsevier, vol. 39(1), pages 99-115, January.
  24. de Bandt, Olivier & Jacquinot, Pascal, 1992. "The financing of corporate firms in France : An econometric model," Economic Modelling, Elsevier, vol. 9(3), pages 253-269, July.
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