Modelling the demand for loans to the private sector in the euro area
Modelling the demand for loans to the private sector in the euro area
复制标题
对欧元区私营部门贷款需求进行建模
DOI：
10.1080/00036840210161837
复制
发表时间：
2001
影响因子：
2.2
通讯作者：
João Sousa
中科院分区：
文献类型：
--
作者：
A. Calza;C. Gartner;João Sousa
本文研究了欧元区私人部门贷款的决定因素。使用约翰森方法，研究确定了一个协整关系连接真实的贷款，国内生产总值和利率。这种关系意味着，从长期来看，真实的贷款与真实的国内生产总值正相关，与真实的短期和长期利率负相关。系数的符号和大小都表明，协整向量描述了一个长期需求方程。欧元区真实的贷款的需求的短期动态随后通过向量误差修正模型（VECM）建模。对VECM进行的一些规格测试产生了令人满意的结果，对模型参数的稳定性测试表明，在抽样期间（1980：1-1999：2）没有出现结构突变的迹象。所有这些都表明，该模型可以合理地解释欧元区私营部门真实的贷款的发展。
This article studies the determinants of loans to the private sector in the euro area. Using the Johansen methodology, the study identifies one cointegrating relationship linking real loans, GDP and interest rates. This relationship implies that in the long-run real loans are positively related to real GDP and negatively to real short-term and long-term interest rates. Both the signs and the magnitude of the coefficients suggest that the cointegrating vector describes a long-run demand equation. The short-run dynamics of the demand for euro area real loans is subsequently modelled by means of a Vector Error Correction Model (VECM). A number of specification tests performed on the VECM produce satisfactory results, with tests of stability of the model parameters showing no signs of structural breaks during the sample period (1980: 1–1999: 2). All of this suggests that developments in real loans to the private sector in the euro area can be reasonably explained by the model.