The credit market forming of selected European countries: Analysis using panel regression

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JEL classification

• Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
• Money and Interest Rates: General
• Interest Rates: Determination, Term Structure, and Effects

Keywords

Cointegration, credit market, panel data, the least squares method, the generalize method of moments

Abstract

This paper aims to explore the credit markets' development of selected EU countries by selected economic variables. The article shows the common features of credit markets in selected EU countries. When comparing the results of both methods, we can identify several similarities, but also some contradictory results. Main results show that the EU credit markets' panel regression have some weaknesses due to non-existing cointegration causalities. The work is initially focused on data analysis of 25 EU member states. The analysis is selected on the basis of the existence of cointegration causalities for using the method of least squares. The same panel data are then analyzed by the GMM. The second method also allows the installation of a generalized regression model constructed from the data in a selected panel of 25 countries. The annual frequency data includes the data from the period 1998 to 2009.