tailieunhanh - DETERMINANTS OF CREDIT TO HOUSEHOLDS IN A LIFE-CYCLE MODEL

Economic policy makers, macroprudential supervisors or investors are interested in reli- able estimates of the equilibrium level of credit in the economy. While earlier theoretical and empirical studies concentrated mostly on the aggregate level of credit to the pri- vate sector or the value of corporate credit, more recent studies focus on the problem of credit to households. In this paper we contribute to this discussion by proposing a life-cycle model with individual income uncertainty that can be used to assess how various macroeconomic factors a®ect the equilibrium value of household credit | EUROPEAN CENTRAL BANK EUROSYSTEM In 2012 all ECB publications feature a motif taken from the 50 banknote. WORKING PAPER SERIES NO 1420 I FEBRUARY 2012 DETERMINANTS OF CREDIT TO HOUSEHOLDS IN A LIFE-CYCLE MODEL by Michal Rubaszek and Dobromil Serwa MACROPRUDENTIAL RESEARCH NETWORK NOTE This Working Paper should not be reported as representing the views of the European Central Bank ECB . The views expressed are those of the authors and do not necessarily reflect those of the ECB. Macroprudential Research Network This paper presents research conducted within the Macroprudential Research Network MaRs . The network is composed of economists from the European System of Central Banks ESCB . the 27 national central banks of the European Union EU and the European Central Bank. The objective of MaRs is to develop core conceptual frameworks models and or tools supporting macro-prudential supervision in the EU. The research is carried out in three work streams 1 Macro-financial models linking financial stability and the performance of the economy 2 Early warning systems and systemic risk indicators 3 Assessing contagion risks. MaRs is chaired by Philipp Hartmann ECB . Paolo Angelini Banca d Italia Laurent Clerc Banque de France Carsten Detken ECB and Katerina Smídková Czech National Bank are workstream coordinators. Xavier Freixas Universitat Pompeu Fabra acts as external consultant and Angela Maddaloni ECB as Secretary. The refereeing process of this paper has been coordinated by a team composed of Cornelia Holthausen Kalin Nikolov and Bernd Schwaab all ECB . The paper is released in order to make the research of MaRs generally available in preliminary form to encourage comments and suggestions prior to final publication. The views expressed in the paper are the ones of the author s and do not necessarily reflect those of the ECB or of the ESCB. Acknowledgements The paper has benefited from helpful comments from an anonymous referee Adam Glogowski Michal Brzoza-Brzezina .