Vodová, Pavla (2008): Credit market and prediction of its future development. Published in:
Download (202Kb) | Preview
This study focuses on the credit market in the Czech Republic. The aim of this paper is to carry out an econometric investigation of supply and demand on the credit market and to predict the development in the future. The first part of the paper briefly characterizes the credit market in the Czech Republic. As a result of banking crisis, the growth rate of credits provided to private sector has decreased sharply and is recovering only gradually. It has caused many problems especially to nonfinancial companies. Next chapter discuss the essence of disequilibrium model. Credit markets are very often characterized by the fact that the interest rate does not clean the market and the discrepancy between credit demand and credit supply occurs. The fact that it is impossible to measure credit demand and credit supply quantities can be solved by the use of disequilibrium model. In the framework of disequilibrium model, the credit demand and credit supply functions are estimated under the restriction that the minimum of the two determines credit. The last chapter describes the data used and the empirical findings. The analysis is based on quarterly data covered the period from the first quarter of 1994 to the fourth quarter of 2006. Based on parameter estimates, the volume of credit demand and credit supply is calculated and compared with the actual volume of credit. The future development of the Czech credit market is predicted.
|Item Type:||MPRA Paper|
|Original Title:||Credit market and prediction of its future development|
|Keywords:||credit market; lending activity; disequilibrium model; credit demand and supply|
|Subjects:||C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C13 - Estimation: General
G - Financial Economics > G2 - Financial Institutions and Services > G21 - Banks; Depository Institutions; Micro Finance Institutions; Mortgages
|Depositing User:||Pavla Vodová|
|Date Deposited:||03. Dec 2008 15:54|
|Last Modified:||12. Feb 2013 20:57|
AGÉNOR, P., AIZEMAN, J., HOFFMAISTER, A. The Credit Crunch in East Asia: What Can Bank Excess Liquid Assets Tell Us? Working Paper NBER, 7951, 2000.
BAEK, EG. A Disequilibrium Model of the Korean Credit Crunch. The Journal of the Korean Economy, 2005, vol. 6, No. 2, pp. 313 – 336.
BAJARAS, A., STEINER, R. Why Don’t They Lend? Credit Stagnation in Latin America. IMF Staff Papers, 49, 2002.
CALZA, A., GARTNER, C., SOUSA, J. Modelling the Demand for Loans to the Private Sector in the Euro Area. Working Paper ECB No. 55, 2001.
CATÃO, L. Bank Credit in Argentina in the Aftermath of the Mexican Crisis: Supply or Demand Constrained? IMF Working Paper 97/32, 1997.
GHOSH, S.R., GHOSH, A.R. East Asia in the Aftermath: Was There a Crunch? IMF Working Paper 99/38, 1999.
LAFFONT, JJ., GARCIA, R. Disequilibrium Econometrics for Business Loans. Econometrica, 1977, vol. 45, No. 5, pp. 1187 – 1204.
MARTIN, CH. Corporate Borrowing and Credit Constraints: Structural Disequilibrium Estimates for the U.K. The Review of Economics and Statistics, 1990, vol. 72, No. 1, pp. 78 – 86.
NEHLS, H., SCHMIDT, T. Credit Crunch in Germany? Kredit und Kapital, 2004, vol. 37, No. 4, pp. 479 – 499.
NENOVSKY, N., PEEV, E., YALAMOV, T. Banks-Enterprises Nexus under a Currency Board: Empirical Evidence from Bulgaria. 2003. URL http://www.cerge-ei.cz/pdf/gdn/RRCII_08_paper_01.pdf
PAZARBASIOGLU, C. A Credit Crunch? Finland in the Aftermath of the Banking Crisis. IMF Staff Papers, 44, 1997.
SEALEY, CW. Credit Rationing in the Commercial Loan Market: Estimates of a Structural Model Under Conditions of Disequilibrium. The Journal of Finance, 1979, vol. 34, No. 3, pp. 689 – 702.
Financial stability report of Czech National Bank, 2005.
Financial stability report of Czech National Bank, 2006.
Web sites of Czech National Bank: http://www.cnb.cz
Web sites of International Monetary Fund: http://www.imf.org