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Bank lending in Germany and the UK: are there differences between a bank‐based and a market‐based country?
Author(s) -
Kaufmann Sylvia,
Valderrama Maria Teresa
Publication year - 2008
Publication title -
international journal of finance and economics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.505
H-Index - 39
eISSN - 1099-1158
pISSN - 1076-9307
DOI - 10.1002/ijfe.345
Subject(s) - economics , interest rate , monetary economics , consumption (sociology) , markov chain , autoregressive model , investment (military) , econometrics , social science , machine learning , sociology , politics , computer science , law , political science
We estimate Markov switching vector autoregressive systems for loans to firms and loans to households to investigate their relationship to interest rates and investment and consumption, respectively. We find evidence for different reactions of lending to shocks in real variables and interest rates across regimes both within countries and across countries for a given regime. We find evidence for a procyclical effect of lending during specific growth periods in both countries. Copyright © 2007 John Wiley & Sons, Ltd.