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The second moments matter: The impact of macroeconomic uncertainty on the allocation of loanable funds

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  • Baum, Christopher F.
  • Caglayan, Mustafa
  • Ozkan, Neslihan

Abstract

This paper investigates how variations in macroeconomic uncertainty distort commercial banks' allocation of loanable funds by analyzing the dispersion of banks' total loan-to-asset ratios over a quarter-century period.

Suggested Citation

  • Baum, Christopher F. & Caglayan, Mustafa & Ozkan, Neslihan, 2009. "The second moments matter: The impact of macroeconomic uncertainty on the allocation of loanable funds," Economics Letters, Elsevier, vol. 102(2), pages 87-89, February.
    • Handle: RePEc:eee:ecolet:v:102:y:2009:i:2:p:87-89
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    More about this item

    Keywords

    Bank lending Loanable funds Macroeconomic uncertainty Panel data;

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
    • E51 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Money Supply; Credit; Money Multipliers

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