Lending cycles

DOI10.1016/S0304-4076(97)00066-3MaRDI QIDQ1377307zbMATH OpenOpenAlexFDO

Authors Patrick K. Asea, Brock Blomberg

Publication date 4 February 1998

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0304-4076(97)00066-3

zbMATH Keywords

panel databusiness cyclescredit rationingunemploymentlending standardsMarkov switching panel model

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

• Bank Credit Cycles
• Endogenous credit standards and aggregate fluctuations
• Gross Credit Flows
• Lending terms and aggregate productivity
• A dynamic theory of bank lending, firm entry, and investment fluctuations

Cites work

• scientific article; zbMATH DE number 3567782 (Why is no real title available?)
• A Markov model for switching regressions
• A New Approach to Estimating Switching Regressions
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Amemiya‘s generalized least squares and tests of overidentification in simultaneous equation models with qualitative or limited dependent variables
• Analysis of time series subject to changes in regime
• Coherency Conditions in Simultaneous Linear Equation Models with Endogenous Switching Regimes
• Diagnostic testing and evaluation of maximum likelihood models
• Dummy Endogenous Variables in a Simultaneous Equation System
• Efficient estimation of limited dependent variable models with endogenous explanatory variables
• Geometric equivalence of groups.
• Implicit Contracts with Asymmetric Information and Bankruptcy: The Effect of Interest Rates on Layoffs
• Maximum Likelihood Specification Testing and Conditional Moment Tests
• Observable Implications of Models with Multiple Equilibria
• Rational-expectations econometric analysis of changes in regime. An investigation of the term structure of interest rates
• Sectoral Employment and Cyclical Fluctuations in an Adverse Selection Model
• Specification testing in Markov-switching time-series models

Cited in

(14)

• Measuring business cycle turning points in Japan with the Markov Switching Panel model
• Bank Credit Cycles
• Dynamics of loans in the Polish banking system
• A dynamic theory of bank lending, firm entry, and investment fluctuations
• Samsung card lending model
• Related Lending
• LOAN SALES AND BANK LIQUIDITY MANAGEMENT
• Lending terms and aggregate productivity
• Collateral and bank screening as complements: a spillover effect
• Monetary tightening cycles and the predictability of economic activity
• Endogenous credit standards and aggregate fluctuations
• Alternative approaches for econometric modeling of panel data using mixture distributions
• Haircuts, interest rates, and credit cycles
• Modelling banks' lending behaviour in a capital-regulated framework

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