Application of a simple nonparametric conditional quantile function estimator in unemployment duration analysis
The paper analyses the potential impact of stock market developments on lending behaviour from different perspectives. First we scrutinize the impact of stock market movements on the banks? and on the borrowers? balance sheets. Subsequently we estimate aggregate credit supply and demand functions including a stock market indicator as explanatory variable. The analysis reveals no major importance of the bank balance sheet channel for the relationship between stock market volatility and corporate financing possibilities of non-financial companies. A possible impact of stock market movements on banks´ lending behaviour might be rooted in their impact on the balance sheets of corporate borrowers. The empirical results of the credit market analysis yield some confirming evidence for an impact of stock market developments. However, the results are not very stable and depend on the specification of the model and on the time period under observation.
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- Bernd Fitzenberger & Ralf A. Wilke, 2010.
"Unemployment Durations in West Germany Before and After the Reform of the Unemployment Compensation System during the 1980s,"
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ZEW Discussion Papers
05-05, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
- Martin Biewen & Ralf Wilke, 2005. "Unemployment duration and the length of entitlement periods for unemployment benefits: do the IAB employment subsample and the German Socio-Economic Panel yield the same results?," AStA Advances in Statistical Analysis, Springer, vol. 89(2), pages 209-236, June.
- Bernd Fitzenberger & Ralf Wilke, 2006.
"Using quantile regression for duration analysis,"
AStA Advances in Statistical Analysis,
Springer, vol. 90(1), pages 105-120, March.
- Koenker R. & Geling O., 2001. "Reappraising Medfly Longevity: A Quantile Regression Survival Analysis," Journal of the American Statistical Association, American Statistical Association, vol. 96, pages 458-468, June.
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"New insights on unemployment duration and post unemployment earnings in Germany: censored Box-Cox quantile regression at work,"
ZEW Discussion Papers
07-007, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
- Fitzenberger, Bernd & Wilke, Ralf, 2007. "New Insights on Unemployment Duration and Post Unemployment Earnings in Germany: Censored Box-Cox Quantile Regression at Work," IZA Discussion Papers 2609, Institute for the Study of Labor (IZA).
- Lechner, Michael, 1997. "Eine empirische Analyse der Geburtenentwicklung in den neuen Bundesländern," Discussion Papers 551, Institut fuer Volkswirtschaftslehre und Statistik, Abteilung fuer Volkswirtschaftslehre.
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- Wolfgang HÄRDLE & O. LINTON, 1995. "Nonparametric Regression," SFB 373 Discussion Papers 1995,29, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- repec:cup:cbooks:9780521845731 is not listed on IDEAS
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