Aggregate Loans to the Euro Area Private Sector

45 Pages Posted: 22 Jul 2003

See all articles by Alessandro Calza

Alessandro Calza

European Central Bank (ECB)

Marta Manrique Simón

Banco de España - Servicio de Estudios

João Sousa

European Central Bank (ECB)

Date Written: January 2003

Abstract

This paper provides new evidence on the behaviour of euro area aggregate loans to the private sector. Using a sample covering the last twenty years, a cointegrating vector linking the real stock of loans to a small set of domestic macroeconomic variables is found. Besides real GDP and prices, this set includes a new measure of the cost of loans obtained as a weighted average of bank lending rates. The results are overall encouraging, though the recursive estimates of the long-run parameters suggest that in 2000 some disturbances, probably of a temporary nature, affected the system. The study then addresses the issue of the leading indicator properties of loans. It finds that the deviations of the real stock of loans from the equilibrium level implied by the model seem to contain information on future changes in inflation, though not on its level.

Keywords: Credit, loans, euro area, cointegration

JEL Classification: C32, C51

Suggested Citation

Calza, Alessandro and Manrique Simón, Marta and Soucasaux Meneses e Sousa, João Miguel, Aggregate Loans to the Euro Area Private Sector (January 2003). Available at SSRN: https://ssrn.com/abstract=376190 or http://dx.doi.org/10.2139/ssrn.376190

Alessandro Calza (Contact Author)

European Central Bank (ECB) ( email )

Sonnemannstrasse 22
Frankfurt am Main, 60314
Germany
0049 69 13440 (Phone)
0044 69 1344 6000 (Fax)

Marta Manrique Simón

Banco de España - Servicio de Estudios ( email )

28027 Madrid
Spain

João Miguel Soucasaux Meneses e Sousa

European Central Bank (ECB) ( email )

Sonnemannstrasse 22
Frankfurt am Main, 60314
Germany

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
175
Abstract Views
2,596
rank
221,533
PlumX Metrics