Equilibrium credit: The reference point for macroprudential supervisors

Kód výsledku v 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>

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

Equilibrium credit: The reference point for macroprudential supervisors

Popis výsledku v původním jazyce

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

Název v anglickém jazyce

Equilibrium credit: The reference point for macroprudential supervisors

Popis výsledku anglicky

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

Druh

J_x - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)

CEP obor

AH - Ekonomie

OECD FORD obor

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Projekt

<a href="/cs/project/GA13-20613S" target="_blank" >GA13-20613S: Institucionální struktura dohledu nad finančními službami a monitorování systémového rizika ve střední Evropě</a><br>

Návaznosti

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

Rok uplatnění

2014

Kód důvěrnosti údajů

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

Název periodika

JOURNAL OF BANKING & FINANCE

ISSN

0378-4266

e-ISSN

—

Svazek periodika

41

Číslo periodika v rámci svazku

C

Stát vydavatele periodika

NL - Nizozemsko

Počet stran výsledku

20

Strana od-do

135-154

Kód UT WoS článku

000333505600011

EID výsledku v databázi Scopus

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