貸し渋りについての一考察 : 貸出市場の不均衡分析

概要

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This paper empirically examines the bank loan market in Japan by taking into account that the market might be in disequilibrium. I attempt to identify whether the economy is on the supply curve or on the demand curve. If it is on the supply curve, estimating the size of the excess demand reveals how serious the credit crunch is, which has been said to be haunting the Japanese economy over the past decade. Hamilton (1990) invented the econometric method of regime-shifting, and I apply it to a disequilibrium model and examine the disequilibrium in the bank loan market.
関西学院大学の論文
2004-09-20