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KUČEROVÁ, Z. POMĚNKOVÁ, J.
Originální název
The Role of Credit Standards as an Indicator of the Supply of Credit
Typ
článek ve sborníku ve WoS nebo Scopus
Jazyk
angličtina
Originální abstrakt
We focus on the credit standards for approving loans to enterprises and households of the Euro Area banks as an indicator of the supply of credit to answer a question whether the change of credit standards is in accordance with the loan supply. The aim of the paper is to assess the co-movement between bank loans and credit standards in Euro Area via moving and dynamic correlation and also from the wavelet co-spectrum perspectives. We use quarterly data over the period 2003/Q1-2016/Q1. We conclude that banks originated fewer loans after they tightened lending standards. However, the co-movement was more apparent in case of households when the level of new loans provided by banks was lower after the lending standards tightening (and vice versa). In case of enterprises, the behaviour of banks concerning credit standards and the loans to enterprises was more unstable. In both cases, the co-movement is characterised by short-term reactions rather than long-term trend. However, the reactions changed in two years after the financial crisis of 2007 and then in 2011when banks started following their credit standards and limited the level of new loans.
Klíčová slova
Wavelet co-spectrum, comovement, bank loans, credit standards
Autoři
KUČEROVÁ, Z.; POMĚNKOVÁ, J.
Vydáno
15. 9. 2017
Nakladatel
Gaudeamus, University of Hradec Králové
Místo
Hradec Králové
ISBN
978-80-7435-678-0
Kniha
35th International Conference Mathematical Methods In Economics, Conference Proceedings
Strany od
378
Strany do
392
Strany počet
6
URL
http://fim2.uhk.cz/mme/index.php?page=conferenceproceedings
BibTex
@inproceedings{BUT140107, author="Zuzana {Kučerová} and Jitka {Dluhá}", title="The Role of Credit Standards as an Indicator of the Supply of Credit", booktitle="35th International Conference Mathematical Methods In Economics, Conference Proceedings", year="2017", pages="378--392", publisher="Gaudeamus, University of Hradec Králové", address="Hradec Králové", isbn="978-80-7435-678-0", url="http://fim2.uhk.cz/mme/index.php?page=conferenceproceedings" }