THE ECONOMETRICS OF MACROECONOMIC MODELLING

# Credit expansion crt

The growth rate of real credit demand, Acrt, is sluggish, and it is also affected in the short run by income effects. In addition the equation contains a step dummy st for the abolition of currency controls (which again takes the value 1 after 1990(3) and (0) before) and a composite dummy variable

CRdumt = [0.5i85q3 + i85q4 + 0.5i86q1 + i87q1 + P dum]t

to account for the deregulation of financial markets.

Acrt = — 0.26 + 0.17Acrt_ i + 0.42Acrt_ 2 + 0.10Ayt (0.05) (0.06) (0.06) (0.02)

— 0.27ARLt_i — 0.026ecmcrt + 0.015CRdumt — 0.006st (9.11) (0.12) (0.005) (0.002) (0.002)

T = 1972(4)-2001(1) = 114

a = 0.61%

F ar(i-5)(5, 101) = 0.52[0.75] xLmality(2) = 0.06[0.97]

Fhetx2(13, 92) = 0.94[0.51].

(Reference: see Table 9.2. The numbers in [..] are p-values.)

The long-run properties are those of a standard demand function—with an elasticity of 2 with respect to income and a negative effect from opportunity costs, as measured by the difference between bank loan rates RL and bond rates RBO

ecmcr, t = crt-з — 2yt-i + 2.5(RLt-i — RBOt-i).

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