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The Impact of International Financial Crisis on Bank Lending to Households. A VAR Approach

Author

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  • Popescu Iulian

    (“Alexandru I. Cuza” University of Iaºi, Doctoral School of Economics)

Abstract

The recent international economic and financial crisis has led to a sharp tightening of lending activity. For the banking system the shock was so strong that its ability to lend to the real economy played and still plays a major role in exacerbating the current crisis, which in turn undermines the strength of banks, highlighting the existence of a continuous mutual potentiation. The objective of this paper is to test, considering the Romanian case, the impact of the strong reduction of gross domestic product growth on banks lending to households. In order to do so, we use a vector autoregressive (VAR) model. The main results of VAR analysis indicate a positive relation between GDP and loans to households, but also the fact that a small share (less than 10%) of the variation in lending to households was determined by a shock of gross domestic product variable.

Suggested Citation

  • Popescu Iulian, 2011. "The Impact of International Financial Crisis on Bank Lending to Households. A VAR Approach," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, vol. 0(2), pages 1088-1094, May.
    • Handle: RePEc:ovi:oviste:v:xi:y:2011:i:9:p:1088-1094
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    More about this item

    Keywords

    credit crunch; VAR model; financial crisis; loans to households.;
    All these keywords.

    JEL classification:

    • E51 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Money Supply; Credit; Money Multipliers
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • G01 - Financial Economics - - General - - - Financial Crises

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