20211109_LargeModelST
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Banks' lending volumes<br />
Loan demand factors<br />
Dynamic<br />
homogeneity<br />
PP<br />
PP<br />
ss<br />
∆LLLLLLLLLL iiii,tt = αα ss ss<br />
pp ∆LLLLLLLLLL iiii,tt−pp + ββ ss ss<br />
pp ∆GGGGGG jj,tt−pp + γγ ss pp IIIIIIII jj,tt−pp + δδ ss X jj,tt +<br />
pp=1<br />
pp=1<br />
pp=1<br />
μμ ss 1 CCCCCCC ii,tt−1 − CCCCCCC ii,tt−1 + μμ ss 2 CCCCCCC ii,tt−1 − CCCCCCC ii,tt−1 II CCCCCCC ii,tt−1 − CCCCCCC ii,tt−1 +<br />
ss<br />
+ μμ ss ss<br />
ss<br />
ss<br />
4 NNNNNN ii,jjjj−1 II NNNNNN ii,jjjj−1 − NNNNNN ii,jjjj−5 + μμ ss 5 RRRRRR ii,tt−1 + μμ ss ss<br />
6 RRRRRRRRRRRRRRRRRRRR ii,tt−1 + ϵ ii,jj,tt<br />
μμ 3 ss NNNNNN ii,jjjj−1<br />
PP<br />
Non-linearities<br />
Loan supply factors<br />
• Dependent variable: the quarterly growth rate of loans of bank i to sector s, in country j, in time t<br />
• Two stage estimation to deal with data limitations<br />
• Loan demand factors: fixed-effect dynamic panel regression with restrictions allowing for cross-sectional<br />
dependence (Pesaran, 2004) and employing iBSI/iMIR dataset (2007-2020)<br />
• Loan supply factors: regression with counterparty-sector-time fixed effects as in Khwaja and Mian (2008)<br />
employing SUBA data (2014-2020)<br />
9<br />
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