The Role of Credit Standards as an Indicator of the Supply of Credit

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216305%3A26220%2F17%3APU124852" target="_blank" >RIV/00216305:26220/17:PU124852 - isvavai.cz</a>
Alternative codes found
RIV/62156489:43110/17:43911794
Result on the web
<a href="http://fim2.uhk.cz/mme/index.php?page=conferenceproceedings" target="_blank" >http://fim2.uhk.cz/mme/index.php?page=conferenceproceedings</a>
DOI - Digital Object Identifier
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Result language
angličtina
Original language name
The Role of Credit Standards as an Indicator of the Supply of Credit
Original language description
We focus on the credit standards for approving loans to enterprises and households of the Euro Area banks as an indicator of the supply of credit to answer a question whether the change of credit standards is in accordance with the loan supply. The aim of the paper is to assess the co-movement between bank loans and credit standards in Euro Area via moving and dynamic correlation and also from the wavelet co-spectrum perspectives. We use quarterly data over the period 2003/Q1-2016/Q1. We conclude that banks originated fewer loans after they tightened lending standards. However, the co-movement was more apparent in case of households when the level of new loans provided by banks was lower after the lending standards tightening (and vice versa). In case of enterprises, the behaviour of banks concerning credit standards and the loans to enterprises was more unstable. In both cases, the co-movement is characterised by short-term reactions rather than long-term trend. However, the reactions changed in two years after the financial crisis of 2007 and then in 2011when banks started following their credit standards and limited the level of new loans.
Czech name
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Czech description
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Project
<a href="/en/project/GA17-24309S" target="_blank" >GA17-24309S: Time-frequency selective techniques for comovement analysis</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year
2017
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
35th International Conference Mathematical Methods In Economics, Conference Proceedings
ISBN
978-80-7435-678-0
ISSN
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e-ISSN
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Number of pages
6
Pages from-to
378-392
Publisher name
Gaudeamus, University of Hradec Králové
Place of publication
Hradec Králové
Event location
Hradec Králové
Event date
Sep 13, 2017
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
000427151400065

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