Identifying Multiple Regimes in the Model of Credit to Households
National Bank of Poland Working Paper No. 99
28 Pages Posted: 27 Oct 2011 Last revised: 8 Jul 2016
Date Written: October 1, 2011
Abstract
This research proposes a new method to identify the differing states of the market with respect to lending to households. We use an econometric multi-regime regression model where each regime is associated with a different economic state of the credit market (i.e. a normal regime or a boom regime). The credit market alternates between regimes when some specific variable increases above or falls below the estimated threshold level. A new method for estimating multi-regime threshold regression models for dynamic panel data is also demonstrated.
Keywords: credit boom, threshold regression, dynamic panel
JEL Classification: E51, C23, C51
Suggested Citation: Suggested Citation
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