A Semiparametric Time Trend Varying Coefficients Model: With An Application to Evaluate Credit Rationing in U.S. Credit Market
In this paper, we propose a new semiparametric varying coefficient model which extends the existing semi-parametric varying coefficient models to allow for a time trend regressor with smooth coefficient function. We propose to use the local linear method to estimate the coefficient functions and we provide the asymptotic theory to describe the asymptotic distribution of the local linear estimator. We present an application to evaluate credit rationing in the U.S. credit market. Using U.S. monthly data (1952.1-2008.1) and using inflation as the underlying state variable, we find that credit is not rationed for levels of inflation that are either very low or very high. For the remaining values of inflation in the sample, we find that credit is rationed and the Mundell-Tobin effect holds.
|Date of creation:||Aug 2009|
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- Thanasis Stengos & Eleftherios Zaharias, 2002.
"Intertemporal Pricing and Price Discrimination: A Semiparametric Hedonic Analysis of the Personal Computer Market,"
University of Cyprus Working Papers in Economics
0211, University of Cyprus Department of Economics.
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- Stengos, T. & Zacharias, E., 2003. "Intertemporal Pricing and Price Discrimination: A Semiparametric Hedonic Analysis of the Personal Computer Market," Working Papers 2003-9, University of Guelph, Department of Economics and Finance.
- Hernandez-Verme, Paula, 2002.
"Inflation, Growth and Exchange Rate Regimes in Small Open Economies,"
16699, University Library of Munich, Germany, revised Aug 2009.
- Paula Hernandez-Verme, 2004. "Inflation, growth and exchange rate regimes in small open economies," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 24(4), pages 839-856, November.
- Duca, John V. & Rosenthal, Stuart S., 1991. "An empirical test of credit rationing in the mortgage market," Journal of Urban Economics, Elsevier, vol. 29(2), pages 218-234, March.
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