Equilibrium credit: The reference point for macroprudential supervisors

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F14%3A86092275" target="_blank" >RIV/61989100:27510/14:86092275 - isvavai.cz</a>
Result on the web
<a href="http://www.sciencedirect.com/science/article/pii/S0378426614000132" target="_blank" >http://www.sciencedirect.com/science/article/pii/S0378426614000132</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1016/j.jbankfin.2014.01.005" target="_blank" >10.1016/j.jbankfin.2014.01.005</a>

Result language
angličtina
Original language name
Equilibrium credit: The reference point for macroprudential supervisors
Original language description
Equilibrium credit is an important concept because it helps to identify excessive credit provision in an economy. This paper proposes a structural approach to determine equilibrium credit which is based on the long-run through-the-cycle transaction demand for credit. Using a panel data set consisting of 49 high and middle-income countries from 1980 to 2010, we show that there exists considerable variation in the cross-country estimates of the income and price elasticities of credit and that the unit elasticity restriction implicitly imposed by the credit-to-GDP ratio is strongly rejected by the data. This suggests that the credit-to-GDP ratio is not appropriate to measure equilibrium credit. We show further that the cross-sectional variation in the income and price elasticities of credit can be related to a set of relevant economic, financial and institutional development indicators of a country. The main determinants that explain the cross-sectional variation in the income and price e
Czech name
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Czech description
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Type
J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP classification
AH - Economics
OECD FORD branch
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Project
<a href="/en/project/GA13-20613S" target="_blank" >GA13-20613S: Institutional Structures of Financial Services Supervision and Monitoring of Systemic Risk in Central Europe</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year
2014
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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