Modelling loans to non-financial corporations in the euro area

Arbeitspapier

We model the determinants of loans to non-financial corporations in the euro area. Using the Johansen (1992) methodology, we identify three cointegrating relationships. These relationships are interpreted as the long-run loan demand, investment and loan supply equations. The short-run dynamics of loan demand for the euro area are subsequently modelled by means of a Vector Error Correction Model (VECM). We perform a number of specification tests, which suggest that developments in loans to non-financial corporations in the euro area can be reasonably explained by the model. We then use the estimated model to analyse the impact of permanent and temporary shocks to the policy rate on bank lending to nonfinancial corporations.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: ECB Working Paper ; No. 989

Classification and Topics

• Classification: Wirtschaft ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models ; Model Construction and Estimation
• Subject: bank credit ; cointegration ; error-correction model ; euro area ; non-financial corporations ; Kreditgeschäft ; Unternehmensfinanzierung ; Kointegration ; Kointegration ; Eurozone

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Kok, Christoffer ; Marqués-Ibáñez, David ; Rossi, Carlotta
• Event: Veröffentlichung
• (who): European Central Bank (ECB)
• (where): Frankfurt a. M.
• (when): 2009

Further information

• Handle: http://hdl.handle.net/10419/153423
• Last update: 10.03.2025, 11:43 AM CET