Bank Lending and Asset Prices in the Euro Area
We examine the dynamics of bank lending to the private sector for countries of the Euro area by applying a Markov switching error correction model.We identify for Belgium, Germany, Ireland and Portugal stable, mean reverting regimes and unstable regimes with no tendency to return to the long term credit demand equation, whereas for some other countries there is only weak evidence. Furthermore, for these as well as for other countries we detect in the less stable regimes a strong co-movement with the development of the stock market. We interpret this as evidence for constraints in bank lending. In contrast, the banks’ capital seems to have only marginal impact on the lending behaviour.
|Date of creation:||May 2006|
|Date of revision:|
|Contact details of provider:|| Postal: Hohenzollernstraße 1-3, 45128 Essen|
Web page: http://www.rwi-essen.de/
More information through EDIRC
|Order Information:||Web: http://www.rwi-essen.de/publikationen/|
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Sun Bae Kim & Ramon Moreno, 1994.
"Stock prices and bank lending behavior in Japan,"
FRBSF Economic Letter,
Federal Reserve Bank of San Francisco, issue feb11.
- Juan-Carlos Cordoba & Marla Ripoll, 2004.
"Credit Cycles Redux,"
International Economic Review,
Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 45(4), pages 1011-1046, November.
- Cordoba, Juan & Ripoll, Marla, 2002. "Credit Cycles Redux," Working Papers 2002-07, Rice University, Department of Economics.
- Cordoba, Juan Carlos & Ripoll, Marla, 2010. "Credit Cycles Redux," Staff General Research Papers Archive 32122, Iowa State University, Department of Economics.
- Juan Cordoba & Marla Ripoll, 2002. "Credit Cycles Redux," Macroeconomics 0210004, EconWPA.
- Zivot, Eric & Andrews, Donald W K, 1992.
"Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis,"
Journal of Business & Economic Statistics,
American Statistical Association, vol. 10(3), pages 251-70, July.
- Zivot, Eric & Andrews, Donald W K, 2002. "Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 25-44, January.
- Eric Zivot & Donald W.K. Andrews, 1990. "Further Evidence on the Great Crash, the Oil Price Shock, and the Unit Root Hypothesis," Cowles Foundation Discussion Papers 944, Cowles Foundation for Research in Economics, Yale University.
- Tom Doan, . "ZIVOT: RATS procedure to perform Zivot-Andrews Unit Root Test," Statistical Software Components RTS00236, Boston College Department of Economics.
- Jan Kakes & Jan-Egbert Sturm, 2001.
"Monetary policy and bank lending. Evidence from German banking groups,"
MEB Series (discontinued)
2001-1, Netherlands Central Bank, Monetary and Economic Policy Department.
- Kakes, Jan & Sturm, Jan-Egbert, 2002. "Monetary policy and bank lending:: Evidence from German banking groups," Journal of Banking & Finance, Elsevier, vol. 26(11), pages 2077-2092, November.
- Hall, Stephen & Psaradakis, Zacharias & Sola, Martin, 1997. "Switching error-correction models of house prices in the United Kingdom," Economic Modelling, Elsevier, vol. 14(4), pages 517-527, October.
- Caporale, Guglielmo Maria & Spagnolo, Nicola, 2003. "Asset prices and output growth volatility: the effects of financial crises," Economics Letters, Elsevier, vol. 79(1), pages 69-74, April.
- Boris Hofmann, 2004. "The Determinants of Bank Credit in Industrialized Countries: Do Property Prices Matter?," International Finance, Wiley Blackwell, vol. 7(2), pages 203-234, 07.
- Ben S. Bernanke, 1994.
"The Macroeconomics of the Great Depression: A Comparative Approach,"
NBER Working Papers
4814, National Bureau of Economic Research, Inc.
- Bernanke, Ben S, 1995. "The Macroeconomics of the Great Depression: A Comparative Approach," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 27(1), pages 1-28, February.
- Anil K. Kashyap & Jeremy C. Stein & David W. Wilcox, 1991.
"Monetary policy and credit conditions: evidence from the composition of external finance,"
Finance and Economics Discussion Series
154, Board of Governors of the Federal Reserve System (U.S.).
- Kashyap, Anil K & Stein, Jeremy C & Wilcox, David W, 1993. "Monetary Policy and Credit Conditions: Evidence from the Composition of External Finance," American Economic Review, American Economic Association, vol. 83(1), pages 78-98, March.
- Anil K Kashyap & Jeremy C. Stein & David W. Wilcox, 1992. "Monetary Policy and Credit Conditions: Evidence From the Composition of External Finance," NBER Working Papers 4015, National Bureau of Economic Research, Inc.
- Brunner, Allan D & Kamin, Steven B, 1998.
"Bank Lending and Economic Activity in Japan: Did 'Financial Factors' Contribute to the Recent Downturn?,"
International Journal of Finance & Economics,
John Wiley & Sons, Ltd., vol. 3(1), pages 73-89, January.
- Allan D. Brunner & Steven B. Kamin, 1995. "Bank lending and economic activity in Japan: did "financial factors" contribute to the recent downturn?," International Finance Discussion Papers 513, Board of Governors of the Federal Reserve System (U.S.).
- John Moore & Nobuhiro Kiyotaki, .
1995-5, Edinburgh School of Economics, University of Edinburgh.
- Azariadis, Costas & Smith, Bruce, 1998. "Financial Intermediation and Regime Switching in Business Cycles," American Economic Review, American Economic Association, vol. 88(3), pages 516-36, June.
- Engle, Robert F & Granger, Clive W J, 1987.
"Co-integration and Error Correction: Representation, Estimation, and Testing,"
Econometric Society, vol. 55(2), pages 251-76, March.
- Engle, Robert & Granger, Clive, 2015. "Co-integration and error correction: Representation, estimation, and testing," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 39(3), pages 106-135.
- Bessec, Marie, 2003. "Mean-reversion vs. adjustment to PPP: the two regimes of exchange rate dynamics under the EMS, 1979-1998," Economic Modelling, Elsevier, vol. 20(1), pages 141-164, January.
- Altunbas, Yener & Fazylov, Otabek & Molyneux, Philip, 2002. "Evidence on the bank lending channel in Europe," Journal of Banking & Finance, Elsevier, vol. 26(11), pages 2093-2110, November.
- Narayana R. Kocherlakota, 2000. "Creating business cycles through credit constraints," Quarterly Review, Federal Reserve Bank of Minneapolis, issue Sum, pages 2-10.
- Adolfo Barajas & Roberto Steiner, 2002. "Why Don't They Lend? Credit Stagnation in Latin America," IMF Staff Papers, Palgrave Macmillan, vol. 49(Special i), pages 156-184.
When requesting a correction, please mention this item's handle: RePEc:rwi:dpaper:0042. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Sabine Weiler)
If references are entirely missing, you can add them using this form.