We investigate the lending behavior of banks by exploiting a rich panel dataset on the contract terms of approximately two million commercial and industrial loans granted by 580 banks between 1977-1993. Using a Markov switching panel model we demonstrate that banks change their lending standards fro...

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Bibliographische Detailangaben

Hauptverfasser:	Asea, Patrick K. (VerfasserIn), Blomberg, Stephen Brock (VerfasserIn)
Format:	Buch
Sprache:	English
Veröffentlicht:	Cambridge, Mass. 1997
Schriftenreihe:	National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series 5951
Schlagworte:	Ökonometrisches Modell Business cycles > Econometric models Loans > Econometric models Unemployment > Effect of inflation on > Econometric models
Online-Zugang:	Volltext
Zusammenfassung:	We investigate the lending behavior of banks by exploiting a rich panel dataset on the contract terms of approximately two million commercial and industrial loans granted by 580 banks between 1977-1993. Using a Markov switching panel model we demonstrate that banks change their lending standards from tightness to laxity systematically over the cycle. We then use an efficient minimum chi-square estimator to examine the relationship between the cyclical component of aggregate unemployment and bank lending standards when both variables are jointly endogenously determined in a system of simultaneous equations with mixed, continuous/discrete dependent variables. The patterns we uncover suggest that lax lending standards that tend to occur during expansions exert considerable influence on the dynamics of aggregate fluctuations.
Beschreibung:	42 S. graph. Darst.