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Explaining and forecasting bank loans. Good times and crisis

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  • Grégory Levieuge

    (LEO - Laboratoire d'Économie d'Orleans [UMR7322] - UO - Université d'Orléans - UT - Université de Tours - CNRS - Centre National de la Recherche Scientifique)

Abstract

This article aims to develop a parsimonious model to explain and forecast bank loans to nonfinancial companies during calm periods as well as in situations of financial turmoil. It focuses on the French context, over a period including financial, banking and sovereign debt crises. Theoretical views and intuitions led us to gauge the marginal informational content of a large set of leading indicators in VAR and VECM models, and to investigate potential nonlinearity in credit dynamics. In accordance with firms and banks’ balance sheet effects, the growth rate of equity prices appears to be one of the most interesting leading indicator as well as a significant threshold variable for explaining regime switching. However, it appears difficult to accurately predict the right credit dynamics regimes. A simple VAR model finally performs better.
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Suggested Citation

  • Grégory Levieuge, 2017. "Explaining and forecasting bank loans. Good times and crisis," Post-Print hal-03529226, HAL.
    • Handle: RePEc:hal:journl:hal-03529226
    DOI: 10.1080/00036846.2016.1208350
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    Cited by:

    1. Thi van Hoang & Călin Gurău & Amine Lahiani & Thuy-Luu Seran, 2017. "Do crises impact capital structure? A study of French micro-enterprises," Post-Print hal-03608784, HAL.
    2. Thi Hong Hoang & Călin Gurău & Amine Lahiani & Thuy-Luu Seran, 2018. "Do crises impact capital structure? A study of French micro-enterprises," Small Business Economics, Springer, vol. 50(1), pages 181-199, January.

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    More about this item

    JEL classification:

    • E51 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Money Supply; Credit; Money Multipliers
    • E47 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Forecasting and Simulation: Models and Applications
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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