Unravelling the credit market shocks and investment dynamics : a theoretical and empirical perspective

Zabavnik, Darja (avtor), Verbič, Miroslav (avtor)

This paper investigates the underlying credit market shocks that historically affected business investment in the Slovenian economy. In contrast to the existing literature, we explore more profound structural shocks beneath the credit demand and supply shocks. For the purpose of structural identification, we propose a theoretical model of the credit market that reveals the credit market imperfections on the side of credit supply as well as liquidity demand. The theoretical structure justifies our set of identifying restrictions, further evaluated with the structural Bayesian VAR model. Our results confirm the relevance of loan supply shocks for the business investment activity, suggesting the existence of credit market imperfections. Furthermore, business investment is strongly conditioned by liquidity demand shocks, which explain a significant part of the variation in investment activity. Even though loan supply shocks constrained the investment activity in Slovenia during the financial crisis, the results of our analysis suggest that banks predominantly reacted to the increasing financial risk as opposed to the changes in their profit functions. Based on the results, we may conclude that in the common monetary area, fiscal policy should implement country-specific measures to effectively address the business sector's expectations regarding the economy's medium- and long-term development.

• Jezik: Angleški jezik
• Ključne besede: financial capital, financial market, investments, credit market, business investment, imperfect capital markets, Bayesian VAR approach, sign restrictions
• Vrsta gradiva: Članek v reviji
• Tipologija: 1.01 - Izvirni znanstveni članek
• Organizacija: EF - Ekonomska fakulteta
• Status publikacije: Objavljeno
• Različica publikacije: Objavljena publikacija
• Leto izida: 2024
• Št. strani: 16 str.
• Številčenje: Vol. 94, art. 103283
• PID: 20.500.12556/RUL-156324
• UDK: 336
• ISSN pri članku: 1057-5219
• DOI: 10.1016/j.irfa.2024.103283
• COBISS.SI-ID: 193354755
• Datum objave v RUL: 20.05.2024

Gradivo je del revije

• Naslov: International review of financial analysis
• Skrajšan naslov: Int. rev. financ. analy.
• Založnik: Elsevier
• ISSN: 1057-5219
• COBISS.SI-ID: 991954

Licence

• Licenca: CC BY-NC 4.0, Creative Commons Priznanje avtorstva-Nekomercialno 4.0 Mednarodna
• Povezava: http://creativecommons.org/licenses/by-nc/4.0/deed.sl
• Opis: Licenca Creative Commons, ki prepoveduje komercialno uporabo, vendar uporabniki ne rabijo upravljati materialnih avtorskih pravic na izpeljanih delih z enako licenco.

Sekundarni jezik

• Jezik: Slovenski jezik
• Ključne besede: finančni kapital, finančni trg, investicije