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Author Jansen, Eilev S. ♦ Krogh, Tord S. H.
Source EconStor
Content type Text
Publisher University of Oslo, Department of Economics
File Format PDF
Language English
Subject Domain (in DDC) Social sciences ♦ Economics
Subject Keyword credit conditions ♦ flexible trend ♦ financial deregulation ♦ household loans ♦ Verbraucherkredit ♦ Kreditgeschäft ♦ Konditionen ♦ Kreditwürdigkeit ♦ Norwegen ♦ Financial Markets and the Macroeconomy ♦ Banks; Depository Institutions; Micro Finance Institutions; Mortgages ♦ Financial Institutions and Services: Government Policy and Regulation
Abstract The interaction between financial markets and the macroeconomy can be strongly affected by changes in credit market regulations. In order to take account of these effects we control explicitly for regime shifts in a system of debt equations for Norway using a common, flexible trend. The estimated shape of the trend matches the qualitative development in the regulations, and we argue that it can be viewed as a measure of relative credit availability, or credit conditions, for the period 1975-2008 - a credit conditions index (CCI). This entails years of strict credit market regulations in the 1970s, its gradual deregulation in the 1980s, followed by a full-blown banking crisis in the years around 1990 and the development thereafter up to the advent of the current financial crisis. Our study is inspired by Fernandez-Corugedo and Muellbauer (2006), which introduced the methodology and provided estimates of a CCI for the UK. The trend conditions on a priori knowledge about changes in the Norwegian regulatory system, as documented in Krogh (2010b), and it shows robustness when estimated recursively.
Part of series Memorandum x2011,10
Learning Resource Type Article
Publisher Date 2011-01-01
Publisher Place Oslo
Rights Holder