Aggregate loans to the euro area private sector

This paper provides new evidence on the behaviour of euro area aggregate loans to the private sector. Using a sample covering the last twenty years, a cointegrating vector linking the real stock of loans to a small set of domestic macroeconomic variables is found. Besides real GDP and prices, this set includes a new measure of the cost of loans obtained as a weighted average of bank lending rates. The results are overall encouraging, though the recursive estimates of the long-run parameters suggest that in 2000 some disturbances, probably of a temporary nature, affected the system. The study then addresses the issue of the leading indicator properties of loans. It finds that the deviations of the real stock of loans from the equilibrium level implied by the model seem to contain information on future changes in inflation, though not on its level.

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Year of publication:	2003
Authors:	Calza, Alessandro ; Manrique, Marta ; Sousa, João
Publisher:	European Central Bank
Subject:	Geldpolitik \| Monetary Policy \| Zentralbank \| Central Bank

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Extent:	506880 bytes 44 p. application/pdf
Series:	Working paper series / European Central Bank ; 202
Type of publication:	Book / Working Paper
Language:	English
Classification:	C32 - Time-Series Models ; C51 - Model Construction and Estimation ; Currency. Monetary policy ; Individual Working Papers, Preprints
Source:	ArchiDok