Bank Lending and Asset Prices in the Euro Area

Arbeitspapier

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.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: RWI Discussion Papers ; No. 42

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 ; Banks; Depository Institutions; Micro Finance Institutions; Mortgages
• Subject: Credit demand ; credit rationing ; asset prices ; credit channel ; Kreditgeschäft ; Capital Asset Pricing Model ; Börsenkrise ; Aktienmarkt ; Bank ; Schätzung ; EU-Staaten ; Österreich ; Belgien ; Finnland ; Deutschland ; Frankreich

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Frömmel, Michael ; Schmidt, Torsten
• Event: Veröffentlichung
• (who): Rheinisch-Westfälisches Institut für Wirtschaftsforschung (RWI)
• (where): Essen
• (when): 2006

Further information

• Handle: http://hdl.handle.net/10419/18593
• Last update: 10.03.2025, 11:41 AM CET