Interest rate elasticity of bank loans: the case for sector-specific capital requirements

  • Empirical credit demand analysis undertaken at the aggregate level obscures potential behavioral heterogeneity between various borrowing sectors. Looking at disaggregated data and analyzing bank loans to non-financial companies, to financial companies, to households for consumption and for house purchases separately with respect to a common set of macroeconomic determinants may facilitate more accurate empirical relationships and more reliable insights for economic policy. Using quarterly Euro area panel data between 2003 and 2013, empirical evidence for heterogeneity in borrowing behavior across sectors and the credit cycle with respect to interest rates, output and house prices is found. The results motivate sector-specific, counter-cyclical capital requirements.

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Metadaten
Author:Florian Hense
URN:urn:nbn:de:hebis:30:3-374850
URL:http://ssrn.com/abstract=2608483
ArXiv Id:http://arxiv.org/abs/10.2139/ssrn.2608483
Parent Title (English):Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 504
Series (Serial Number):CFS working paper series (504)
Publisher:Center for Financial Studies
Place of publication:Frankfurt, M.
Document Type:Working Paper
Language:English
Year of Completion:2015
Year of first Publication:2015
Publishing Institution:Universitätsbibliothek Johann Christian Senckenberg
Release Date:2015/06/02
Tag:bank loans; disaggregation; interest rate elasticity; macro-prudential tools
Issue:February 26, 2015
Page Number:27
HeBIS-PPN:361349874
Institutes:Wirtschaftswissenschaften / Wirtschaftswissenschaften
Wissenschaftliche Zentren und koordinierte Programme / Center for Financial Studies (CFS)
Dewey Decimal Classification:3 Sozialwissenschaften / 33 Wirtschaft / 330 Wirtschaft
Sammlungen:Universitätspublikationen
Licence (German):License LogoDeutsches Urheberrecht