Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/153423
Authors: 
Kok, Christoffer
Marqués-Ibáñez, David
Rossi, Carlotta
Year of Publication: 
2009
Series/Report no.: 
ECB Working Paper 989
Abstract: 
We model the determinants of loans to non-financial corporations in the euro area. Using the Johansen (1992) methodology, we identify three cointegrating relationships. These relationships are interpreted as the long-run loan demand, investment and loan supply equations. The short-run dynamics of loan demand for the euro area are subsequently modelled by means of a Vector Error Correction Model (VECM). We perform a number of specification tests, which suggest that developments in loans to non-financial corporations in the euro area can be reasonably explained by the model. We then use the estimated model to analyse the impact of permanent and temporary shocks to the policy rate on bank lending to nonfinancial corporations.
Subjects: 
bank credit
cointegration
error-correction model
euro area
non-financial corporations
JEL: 
C32
C51
Document Type: 
Working Paper

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