Empirical credit demand analysis undertaken at the aggregate level obscures potential behavioral heterogeneity between various borrowing sectors. Looking at disaggregated data and analyzing bank loans to non-financial companies, to financial companies, to households for consumption and for house purchases separately with respect to a common set of macroeconomic determinants may facilitate more accurate empirical relationships and more reliable insights for economic policy. Using quarterly Euro area panel data between 2003 and 2013, empirical evidence for heterogeneity in borrowing behavior across sectors and the credit cycle with respect to interest rates, output and house prices is found. The results motivate sector-specific, counter-cyclical capital requirements.
bank loans disaggregation interest rate elasticity macro-prudential tools