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A micro data approach to the identification of credit crunches

  • Rottmann, Horst
  • Wollmershäuser, Timo

This article presents a micro data approach to the identification of credit crunches. Using a survey among German firms which regularly queries the firms’ assessment of the current willingness of banks to extend credit, we estimate the probability of a restrictive loan supply policy by time taking into account the creditworthiness of borrowers. Creditworthiness is approximated by firm-specific factors, e.g. the firms’ assessment of their current business situation and their business expectations. After controlling for the return on the banks’ risk-free investment alternative, which is also likely to affect the supply of loans, we derive a credit crunch indicator, which measures that part of the shift in the loan supply that is neither explained by firm-specific factors nor by the opportunity costs of providing risky loans.

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Paper provided by University of Munich, Department of Economics in its series Munich Reprints in Economics with number 19741.

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Date of creation: 2013
Date of revision:
Publication status: Published in Applied Economics 17 45(2013): pp. 2423-2441
Handle: RePEc:lmu:muenar:19741
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