Identifying multiple regimes in the model of credit to households

This research proposes a new method to identify the differing states of the market with respect to lending to households. We use an econometric multi-regime regression model where each regime is associated with a different economic state of the credit market (i.e. a normal regime or a boom regime). The credit market alternates between regimes when some specific variable increases above or falls below the estimated threshold level. A new method for estimating multi-regime threshold regression models for dynamic panel data is also demonstrated.credit boom, threshold regression, dynamic panel

Determinants of credit to households in a life-cycle model

This paper applies a life-cycle model with individual income uncertainty to investigate the determinants of credit to households. We show that the value of household credit to GDP ratio depends on (i) the lending-deposit interest rate spread, (ii) individual income uncertainty, (iii) individual productivity persistence, and (iv) the generosity of the pension system. Subsequently, we provide empirical evidence for the predictions of the theoretical model on the basis of data for OECD and EU countries.Household credit; life cycle economies; banking sector

Determinants of credit to households in a life-cycle model

This paper applies a life-cycle model with individual income uncertainty to investigate the determinants of credit to households. We show that the value of household credit to GDP ratio depends on (i) the lending-deposit interest rate spread, (ii) individual income uncertainty, (iii) individual productivity persistence, and (iv) the generosity of the pension system. Subsequently, we provide empirical evidence for the predictions of the theoretical model on the basis of data for OECD and EU countries. JEL Classification: E21, E43, E51.Household credit, life cycle economies, banking sector.

Koszty restrukturyzacji sektora bankowego w Polsce

The aim of this paper is to estimate the costs of banking sector restructuring in Poland, borne by the government and the central bank in the years 1993-2006. The authors focused mainly on the assistance measures that directly contributed to generating costs. Aggregated costs of the banking sector restructuring borne in the years 1993-2006 by public bodies amounted to 18.6 billion zloty (22.4 billion zloty in 2006 prices), corresponding to 2.61% of the annual GDP. The largest costs related to the tools employed in the banking sector restructuring process were those of servicing restructuring bonds allocated by the State Treasury to finance threatened banks (over 80% of total costs). The largest share of assistance went to state-owned banks, i.e. 90.3% in current prices. Total costs of banking sector restructuring in Poland are not high when compared to such costs in other transition countries.banking sector restructuring, banking crises, fiscal costs, financial stability

Koszty restrukturyzacji sektora bankowego w Polsce

The aim of this paper is to estimate the costs of banking sector restructuring in Poland, borne by the government and the central bank in the years 1993-2006. The authors focused mainly on the assistance measures that directly contributed to generating costs. Aggregated costs of the banking sector restructuring borne in the years 1993-2006 by public bodies amounted to 18.6 billion zloty (22.4 billion zloty in 2006 prices), corresponding to 2.61% of the annual GDP. The largest costs related to the tools employed in the banking sector restructuring process were those of servicing restructuring bonds allocated by the State Treasury to finance threatened banks (over 80% of total costs). The largest share of assistance went to state-owned banks, i.e. 90.3% in current prices. Total costs of banking sector restructuring in Poland are not high when compared to such costs in other transition countries

Koszty restrukturyzacji sektora bankowego w Polsce

The aim of this paper is to estimate the costs of banking sector restructuring in Poland, borne by the government and the central bank in the years 1993-2006. The authors focused mainly on the assistance measures that directly contributed to generating costs. Aggregated costs of the banking sector restructuring borne in the years 1993-2006 by public bodies amounted to 18.6 billion zloty (22.4 billion zloty in 2006 prices), corresponding to 2.61% of the annual GDP. The largest costs related to the tools employed in the banking sector restructuring process were those of servicing restructuring bonds allocated by the State Treasury to finance threatened banks (over 80% of total costs). The largest share of assistance went to state-owned banks, i.e. 90.3% in current prices. Total costs of banking sector restructuring in Poland are not high when compared to such costs in other transition countries

Banking crises and nonlinear linkages between credit and output

The paper employs a recently developed procedure, based on a bivariate Markov switching model, to analyze the asymmetric causality linkages between credit growth and output growth during banking crises. Using a sample of 103 banking crises, we find that neither credit nor output leads the other variable in calm and crisis periods, although there is evidence of instantaneous regime-interdependence between the banking and real sector during crises. The linear link between credit growth and output growth is also regime-dependent.banking crises, credit growth, output growth, Markov switching model, causality

Larger crises cost more: impact of banking sector instability on output growth

We propose a method for calculating the macroeconomic costs of banking crises that controls for the downward impact of recessions on banking activity. In contrast to earlier research, we estimate the cost of crises based on the size of banking crises. The extent of a crisis is measured using banking sector aggregates. The results, based on our method and data from over 100 banking crises, suggest that the size of a crisis matters for economic growth. Lower credit, deposit and money growth during crises cause GDP growth to decline.banking crises, costs, output growth, event-study