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

See all articles by Dobromil Serwa

Dobromil Serwa

National Bank of Poland; Warsaw School of Economics (SGH)

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

Serwa, Dobromil, Identifying Multiple Regimes in the Model of Credit to Households (October 1, 2011). National Bank of Poland Working Paper No. 99, Available at SSRN: https://ssrn.com/abstract=1950083 or http://dx.doi.org/10.2139/ssrn.1950083

Dobromil Serwa (Contact Author)

National Bank of Poland ( email )

00-919 Warsaw
Poland

Warsaw School of Economics (SGH) ( email )

aleja Niepodleglosci 162
PL-Warsaw, 02-554
Poland

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