Detail publikace

The Role of Credit Standards as an Indicator of the Supply of Credit

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"
}