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Determinants of credit to households in a life-cycle model

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Abstract

This paper applies a life-cycle model with individual income uncertainty to investigate the determinants of credit to households. We show that the value of household credit to GDP ratio depends on (i) the lending-deposit interest rate spread, (ii) individual income uncertainty, (iii) individual productivity persistence, and (iv) the generosity of the pension system. Subsequently, we provide empirical evidence for the predictions of the theoretical model on the basis of data for OECD and EU countries.

Suggested Citation

  • Michal Rubaszek & Dobromil Serwa, 2011. "Determinants of credit to households in a life-cycle model," NBP Working Papers 92, Narodowy Bank Polski.
  • Handle: RePEc:nbp:nbpmis:92
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    Cited by:

    1. Enache Calcedonia, 2022. "Macroeconomic Determinants of Household Indebtedness in Romania: An Econometric Approach," Journal of Social and Economic Statistics, Sciendo, vol. 11(1-2), pages 102-117, December.
    2. Sophocles N. Brissimis & Eugenie N. Garganas & Stephen G. Hall, 2014. "Consumer credit in an era of financial liberalization: an overreaction to repressed demand?," Applied Economics, Taylor & Francis Journals, vol. 46(2), pages 139-152, January.
    3. repec:pra:mprapa:40579 is not listed on IDEAS
    4. Serwa, Dobromił, 2013. "Identifying multiple regimes in the model of credit to households," International Review of Economics & Finance, Elsevier, vol. 27(C), pages 198-208.
    5. Haithem Awijen & Younes Ben Zaied & Ahmed Imran Hunjra, 2023. "Systematic and Unsystematic Determinants of Sectoral Risk Default Interconnectedness," Computational Economics, Springer;Society for Computational Economics, vol. 62(2), pages 561-587, August.
    6. Nadja König & Ingrid Größl, 2014. "Catching up with the Joneses and Borrowing Constraints: An Agent-based Analysis of Household Debt," Macroeconomics and Finance Series 201404, University of Hamburg, Department of Socioeconomics.

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    More about this item

    Keywords

    Household credit; life cycle economies; banking sector;
    All these keywords.

    JEL classification:

    • E21 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Consumption; Saving; Wealth
    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • E51 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Money Supply; Credit; Money Multipliers

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