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

Kód výsledku v 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>

Nalezeny alternativní kódy

RIV/62156489:43110/17:43911794

Výsledek na webu

<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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Jazyk výsledku

angličtina

Název v původním jazyce

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

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

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

Popis výsledku anglicky

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.

Druh

D - Stať ve sborníku

CEP obor

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OECD FORD obor

10103 - Statistics and probability

Projekt

<a href="/cs/project/GA17-24309S" target="_blank" >GA17-24309S: Časově-frekvenční selektivní techniky pro analýzu společného pohybu</a><br>

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Rok uplatnění

2017

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název statě ve sborníku

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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Počet stran výsledku

6

Strana od-do

378-392

Název nakladatele

Gaudeamus, University of Hradec Králové

Místo vydání

Hradec Králové

Místo konání akce

Hradec Králové

Datum konání akce

13. 9. 2017

Typ akce podle státní příslušnosti

WRD - Celosvětová akce

Kód UT WoS článku

000427151400065