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ifo Institut – Leibniz-Institut für Wirtschaftsforschung an der Universität München >
CESifo Working Papers, CESifo Group Munich >
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http://hdl.handle.net/10419/39845
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| Title: | | A micro data approach to the identification of credit crunches  |
| Authors: | | Rottmann, Horst Wollmershäuser, Timo |
| Issue Date: | | 2010 |
| Series/Report no.: | | CESifo working paper Monetary Policy and International Finance 3159 |
| Abstract: | | This paper presents a micro data approach to the identification of credit crunches. Using a survey among German firms which regularly queries the firms' assessment of the current willingness of banks to extend credit we estimate the probability of a restrictive credit supply policy by time taking into account the creditworthiness of borrowers. Creditworthiness is approximated by firm-specific factors, e.g. the firms' assessment of their current business situation and their business expectations. After controlling for the banks' refinancing costs, which are also likely to affect the supply of loans, we derive a credit crunch indicator, which measures that part of the shift in the willingness to lend that is neither explained by firm-specific factors nor by refinancing costs. |
| Subjects: | | credit crunch loan supply surveys nonlinear binary outcome panel-data models |
| JEL: | | C23 E44 E51 G21 |
| Document Type: | | Working Paper |
| Appears in Collections: | | CESifo Working Papers, CESifo Group Munich
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