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Aggregate loans to the euro area private sector

Author

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

Abstract

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

Suggested Citation

  • Calza, Alessandro & Sousa, João & Manrique, Marta, 2003. "Aggregate loans to the euro area private sector," Working Paper Series 202, European Central Bank.
  • Handle: RePEc:ecb:ecbwps:2003202
    Note: 338639
    as

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    References listed on IDEAS

    as
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    More about this item

    Keywords

    cointegration; credit; euro area; loans;

    JEL classification:

    • 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
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation

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