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1、6500 英文單詞, 英文單詞,3.5 萬英文字符,中文 萬英文字符,中文 10500 字文獻(xiàn)出處: 文獻(xiàn)出處:Brissimis S N, Garganas E N, Hall S G. Consumer credit in an era of financial liberalization: an overreaction to repressed demand?[J]. Applied Economics, 2014, 46(2

2、): 139-152.Consumer credit in an era of financial liberalization: an overreaction to repressed demand?Sophocles N. Brissimis, Eugenie N. Garganas and Stephen G. HallIn this article, we empirically analyse the factors whi

3、ch determined consumer credit in Greece in the period before and after the financial liberalization, while accounting for significant changes in structure due to the lifting of credit restrictions and the subsequent impr

4、essive boom of consumer loans. We use multivariate cointegration techniques to estimate a vector error correction model (VECM) and identify separate demand and supply relationships for consumer loans. We introduce demand

5、 and supply-related shifts in parameters through the inclusion of appropriate dummy variables and trends in the long-run relationships. We partly deviate from the typical Johansen procedure and estimate the model in two

6、steps. We find that the theoretical exclusion and coefficient-size restrictions on the demand and supply cointegrating vectors are valid. Our results are consistent with the operation of a bank lending channel in Greece.

7、 We also find that the supply side was mostly responsible for the acceleration of consumer loan growth following credit liberalization.Keywords: consumer credit; financial liberalization; cointegration; structural breaks

8、I. IntroductionThe issue of modelling bank credit has been investigated by a significant body of empirical work which complements the extensive literature that models the behaviour of monetary aggregates. The empirical r

9、esearch devoted to the determination of credit frequently employs cointegration techniques to estimate mainly demand relationships (e.g. Hofmann, 2001; Calza et al., 2003). However, very few studies estimate separate loa

10、n demand and loan supply relationships (e.g. Kakes, 2000). Moreover, the modelling of consumer credit alone is practically not covered at all by the literature that uses aggregate credit data, while it is quite common in

11、 studies that use micro-level data. The identification of loan demand and loan supply relationships implies, inter alia, the existence of a bank lending channel (Bernanke and Blinder, 1988). This channel seems to functio

12、n well in markets that are not fully developed and in which frictions are still present. In our article, we aim to contribute to the empirical literature on consumer credit and investigate separately the demand and suppl

13、y factors that determine the evolution of this aggregate in Greece. Our analysis covers the period 1990–2008, aiming to account for the effects of the liberalization of credit in Greece. We did not extend our empirical w

14、ork to more recent years (post-2008), during which the impact from the global financial crisis and the sovereign debt crisis in Greece on the domestic real economy and on deposits, credit and asset prices was particularl

15、y large.The sample period that we examine includes a rapid acceleration of consumer credit growth, following its liberalization and the adoption of the euro in 2001, which partly reflects the changing behaviour of econom

16、ic agents. The associated shifts in the impact of factors that determine credit render standard econometric methods of estimation less applicable. This is more generally the case in the empirical literature that focuses

17、on developing economies. The same issue is also encountered in the literature which models the demand for money in advanced economies that went through financial liberalization earlier, in the 1980s. We address this matt

18、er through the use for loans is not deemed necessary in most studies when demand effects are likely, or simply assumed, to dominate supply effects. More importantly, the identification of a separate demand and supply cur

19、ve is not always feasible, depending on data availability, the choice of variables and the theoretical model. Kakes (2000), Hulsewig et al. (2004) and Sorensen et al. (2009) are all studies which impose theoretical restr

20、ictions on a VECM in order to identify a loan demand and a loan supply function for the Netherlands, Germany and the euro area, respectively. The determination of separate loan supply and/or loan demand curves supports t

21、he existence of a bank lending channel, notably as stated in the Bernanke–Blinder model (1998). The Bernanke–Blinder framework suggests that the channel operates well in economies in which market frictions exist (e.g. em

22、erging markets), which render borrowers more bank-dependent, for example in countries which are in the process of credit liberalization. By contrast, the advancement of financial deregulation and financial innovation (th

23、at creates new products replacing bank loans or promotes, for example, the expansion of true-sale securitization activity and the sale of loans by banks to nonbanks) explains why empirical studies using data from the mor

24、e developed economies (mainly the United States and the United Kingdom) find conflicting evidence regarding the existence of the lending channel. However, in the case of household loans, the bank lending channel may almo

25、st be taken for granted, since household borrowing is mainly bank- based, more than in the case of firms, at least in the euro area and to some extent in the United States, where households are more widely funded from no

26、nbank sources (such as government-sponsored enterprises, private issuers of asset-backed securities and microfinance institutions).While the more advanced economies had completed financial deregulation by the end of the

27、1980s, other economies only recently went through or are still under- going this process. Thus, studies that are based on samples that include a period of credit liberalization often make use of methods found in the emer

28、ging market literature. Furthermore, in the case of more advanced economies and samples that are long enough to include earlier periods of transformation, the demand for money literature also offers empirical approaches

29、to help model these changes (e.g. see Baba et al., 1992). Therefore, many studies use dummy variables, e.g. in the long-run relationships or in the short-run dynamics of a model (e.g. Kakes, 2000), to account for shifts

30、in the parameters. Other studies incorporate time trends in the long-run relationship to proxy for the effects of credit liberalization or financial innovation (e.g. Arrau et al., 1995; Kakes, 2000; Hulsewig et al., 2004

31、; Brissimis and Vlassopoulos, 2009). Alternative approaches in this literature focus on the construction of indices that measure the degree of liberalization through the use of ‘institutional’ variables (Cottarelli et al

32、., 2005; Fernandez-Corugedo and Muellbauer, 2006). Finally, the strand of the econometric literature that deals with structural changes offers a variety of methods that can be used to model time-varying or shifting param

33、eters (e.g. in the money demand literature, see the time-varying parameter model in Brissimis et al. (2003)).III. Stylized FactsIn the 1990s, lending to the private sector in Greece was rising very strongly with consumer

34、 loans being one of the faster growing components. The average growth rate of consumer loans in the period 1991 to 1999 stood at 41.4%, reflecting, inter alia, the very low starting base. In the 10- year period starting

35、in 2000, the average growth rate decreased, albeit remaining as high as 27.1%, and in 2010, a negative rate of change was recorded due to the effects of the financial crisis. The surging consumer loan growth rates observ

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