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Bank Lending and Asset Prices: evidence from Bulgaria

Michael Frömmel (UGent) and Kristina Karagyozova
(2008) Bulgarian National Bank Discussion Papers. 65. p.1-29
Author
Organization
Abstract
We examine the dynamics of bank lending to companies and private households in Bulgaria by applying a non-linear Markov switching error correction model (MS-ECM). The MS-ECM provides evidence for multiple structural breaks and improves the estimation results compared to a linear model. In particular we find a more or less pronounced, time-varying relation between bank lending and asset prices. We identify periods when corporate and household loans were driven to a greater extent by supply-side rather than long-run demand-side factors. We also find evidence for a regime switch due to the introduction of administrative measures to curb the credit expansion in early 2005.
Keywords
credit growth, real estate prices, Bulgaria, monetary transmission

Citation

Please use this url to cite or link to this publication:

MLA
Frömmel, Michael, and Kristina Karagyozova. “Bank Lending and Asset Prices: Evidence from Bulgaria.” Bulgarian National Bank Discussion Papers, vol. 65, Bulgarian National Bank, 2008, pp. 1–29.
APA
Frömmel, M., & Karagyozova, K. (2008). Bank Lending and Asset Prices: evidence from Bulgaria. Sofia ; BULGARY: Bulgarian National Bank.
Chicago author-date
Frömmel, Michael, and Kristina Karagyozova. 2008. “Bank Lending and Asset Prices: Evidence from Bulgaria.” Bulgarian National Bank Discussion Papers. Sofia ; BULGARY: Bulgarian National Bank.
Chicago author-date (all authors)
Frömmel, Michael, and Kristina Karagyozova. 2008. “Bank Lending and Asset Prices: Evidence from Bulgaria.” Bulgarian National Bank Discussion Papers. Sofia ; BULGARY: Bulgarian National Bank.
Vancouver
1.
Frömmel M, Karagyozova K. Bank Lending and Asset Prices: evidence from Bulgaria. Vol. 65, Bulgarian National Bank Discussion Papers. Sofia ; BULGARY: Bulgarian National Bank; 2008. p. 1–29.
IEEE
[1]
M. Frömmel and K. Karagyozova, “Bank Lending and Asset Prices: evidence from Bulgaria,” Bulgarian National Bank Discussion Papers, vol. 65. Bulgarian National Bank, Sofia ; BULGARY, pp. 1–29, 2008.
@misc{718631,
  abstract     = {{We examine the dynamics of bank lending to companies and private households in Bulgaria by applying a non-linear Markov switching error correction model (MS-ECM). The MS-ECM provides evidence for multiple structural breaks and improves the estimation results compared to a linear model. In particular we find a more or less pronounced, time-varying relation between bank lending and asset prices. We identify periods when corporate and household loans were driven to a
greater extent by supply-side rather than long-run demand-side factors. We also find evidence for a regime switch due to the introduction of administrative measures to curb the credit expansion in early 2005.}},
  author       = {{Frömmel, Michael and Karagyozova, Kristina}},
  isbn         = {{954857912X}},
  keywords     = {{credit growth,real estate prices,Bulgaria,monetary transmission}},
  language     = {{eng}},
  pages        = {{1--29}},
  publisher    = {{Bulgarian National Bank}},
  series       = {{Bulgarian National Bank Discussion Papers}},
  title        = {{Bank Lending and Asset Prices: evidence from Bulgaria}},
  url          = {{http://www.bnb.bg/}},
  volume       = {{65}},
  year         = {{2008}},
}