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Macroeconomic uncertainty and banks’ loan supply: The case of the Nordic countries

Lodenius, Ellenor LU (2017) NEKP01 20171
Department of Economics
Abstract (Swedish)
The purpose of this paper is to investigate whether macroeconomic uncertainty has a negative effect on Nordic banks’ loan supply. To test this a model is defined with a gross loans/total asset ratio as the dependent variable and a proxy for macroeconomic uncertainty is used as the explanatory variable. A crucial step is the definition of macroeconomic uncertainty. In this paper five different measures of uncertainty is utilized as an attempt to create robust and extensive results. Three of the measures are indices and the remaining two are model-based GARCH variables. In total, 21 OLS regressions are performed and the results indicate that there might exist a negative relationship between macroeconomic uncertainty and Nordic banks’ loan... (More)
The purpose of this paper is to investigate whether macroeconomic uncertainty has a negative effect on Nordic banks’ loan supply. To test this a model is defined with a gross loans/total asset ratio as the dependent variable and a proxy for macroeconomic uncertainty is used as the explanatory variable. A crucial step is the definition of macroeconomic uncertainty. In this paper five different measures of uncertainty is utilized as an attempt to create robust and extensive results. Three of the measures are indices and the remaining two are model-based GARCH variables. In total, 21 OLS regressions are performed and the results indicate that there might exist a negative relationship between macroeconomic uncertainty and Nordic banks’ loan supply. However, this result is not robust for all of the five macroeconomic uncertainty proxies. In general, the indices seem to have a greater impact on the dependent variable in comparison to the GARCH variables. (Less)
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author
Lodenius, Ellenor LU
supervisor
organization
course
NEKP01 20171
year
type
H2 - Master's Degree (Two Years)
subject
keywords
Macroeconomic uncertainty, loan supply, GARCH, Global Economic Policy Uncertainty Index, Survey of Professional Forecasters
language
English
id
8905721
date added to LUP
2017-05-08 09:17:12
date last changed
2017-05-08 09:17:12
@misc{8905721,
  abstract     = {The purpose of this paper is to investigate whether macroeconomic uncertainty has a negative effect on Nordic banks’ loan supply. To test this a model is defined with a gross loans/total asset ratio as the dependent variable and a proxy for macroeconomic uncertainty is used as the explanatory variable. A crucial step is the definition of macroeconomic uncertainty. In this paper five different measures of uncertainty is utilized as an attempt to create robust and extensive results. Three of the measures are indices and the remaining two are model-based GARCH variables. In total, 21 OLS regressions are performed and the results indicate that there might exist a negative relationship between macroeconomic uncertainty and Nordic banks’ loan supply. However, this result is not robust for all of the five macroeconomic uncertainty proxies. In general, the indices seem to have a greater impact on the dependent variable in comparison to the GARCH variables.},
  author       = {Lodenius, Ellenor},
  keyword      = {Macroeconomic uncertainty,loan supply,GARCH,Global Economic Policy Uncertainty Index,Survey of Professional Forecasters},
  language     = {eng},
  note         = {Student Paper},
  title        = {Macroeconomic uncertainty and banks’ loan supply: The case of the Nordic countries},
  year         = {2017},
}