Arbeitspapier
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.
- Language
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Englisch
- Bibliographic citation
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Series: ZEW Discussion Papers ; No. 05-67
- Classification
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Wirtschaft
- Subject
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Schätztheorie
Nichtparametrisches Verfahren
Mikroökonometrie
Arbeitslosigkeit
Dauer
Schätzung
Theorie
Deutschland
- Event
-
Geistige Schöpfung
- (who)
-
Wichert, Laura
Wilke, Ralf A.
- Event
-
Veröffentlichung
- (who)
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Zentrum für Europäische Wirtschaftsforschung (ZEW)
- (where)
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Mannheim
- (when)
-
2005
- Handle
- Last update
-
10.03.2025, 11:42 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Wichert, Laura
- Wilke, Ralf A.
- Zentrum für Europäische Wirtschaftsforschung (ZEW)
Time of origin
- 2005
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Testing exogeneity in nonparametric instrumental variables identified by conditional quantile restrictions
On the nonparametric estimation of the conditional hazard estimator in a single functional index
Bootstrap variance estimation for Nadaraya quantile estimator
Nonparametric estimation of a conditional quantile function in a fixed effects panel data model
Median and quantile conditional copulas
A nonparametric approach for quantile regression
A conditional minimax estimator for treating nonresponse
A conditional minimax estimator for treating nonresponse
Exogenous impact and conditional quantile functions
A Nonparametric Partially Identified Estimator for Equivalence Scales
Application of a simple nonparametric conditional quantile function estimator in unemployment duration analysis
Application of a simple nonparametric conditional quantile function estimator in unemployment duration analysis
Testing exogeneity in nonparametric instrumental variables identified by conditional quantile restrictions
On the nonparametric estimation of the conditional hazard estimator in a single functional index
Bootstrap variance estimation for Nadaraya quantile estimator
Nonparametric estimation of a conditional quantile function in a fixed effects panel data model
Median and quantile conditional copulas
A nonparametric approach for quantile regression
A conditional minimax estimator for treating nonresponse
A conditional minimax estimator for treating nonresponse
Exogenous impact and conditional quantile functions