RT Journal Article
T1 Modelling Loans to Non‑Financial Corporations in the Eurozone: A Long‑Memory Approach
A1 Caporale, Guglielmo Maria
A1 Gil Alana, Luis A.
A1 Rubino, Nicola
A1 Vilchez Trujillo, Inmaculada
AB This paper uses fractional integration and cointegration methods to analyzethe long-run relationship between loans to non-financial corporations, real grossdomestic product, real gross fixed capital formation, the cost of borrowing differentialbetween long- and short-term rates, and a proxy for the cost of debt, securities, andequity issuance. The analysis includes four Eurozone countries, namely Germany,France, Italy, and Spain, and spans the most recent decades. More precisely, fractionalintegration and cointegration models are estimated to investigate the persistence ofthe series as well as their long-run relationships and short-run dynamics using bothunrestricted and restricted specifications. The univariate results are heterogeneous,the highest degrees of integration being found in the case of loans to non-financialcorporations, whilst the multivariate ones provide evidence of a single fractionalcointegration vector as well as of a lower adjustment speed to the long-run equilibriumcompared to previous studies in all four countries. Moreover, both the short- and longrunresponse of loans to exogenous shocks to real gross domestic product and the costof borrowing differentials differs across countries because of country-specific factors
PB Springer
SN 1083-0898
SN 1573-966X (electrónico)
YR 2024
FD 2024-08
LK https://hdl.handle.net/10272/24272
UL https://hdl.handle.net/10272/24272
LA eng
NO Caporale, G. M., Gil-Alana, L. A., Rubino, N., & Vilchez, I. (2024). Modelling Loans to Non-Financial Corporations in the Eurozone: A Long-Memory Approach. In International Advances in Economic Research (Vol. 30, Issue 3, pp. 231–254). Springer Science and Business Media LLC. https://doi.org/10.1007/s11294-024-09909-x
NO Open Access funding provided thanks to the CRUE-CSIC agreement with Springer Nature
DS Repositorio Institucional de la Universidad de Huelva
RD 31 may 2026