Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/264682 
Year of Publication: 
2004
Series/Report no.: 
Working Paper No. 90
Publisher: 
Oesterreichische Nationalbank (OeNB), Vienna
Abstract: 
The purpose of this paper is to model both loans to households and to non-financial corporations as well as their relation to interest rates and demand variables for Austria, Germany, the Netherlands and the United Kingdom. Credit aggregates are modeled using a Markov-switching vector autoregressive model, which allows testing as to whether shocks to the economy have stronger effects during tight credit regimes or economic downturns. The analysis of the above-mentioned countries makes it possible to assess the differences in the amplifying and asymmetric effects of credit aggregates between marketbased and bank-based financial systems.
Subjects: 
Asymmetry and amplification
credit aggregates
market-based and bank-based financial systems
JEL: 
C32
E44
E51
Document Type: 
Working Paper

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