Work detail

Bank lending surveys and financial cycles

Author: Mgr. Samuel Mayr
Year: 2017 - summer
Leaders: doc. PhDr. Adam Geršl Ph.D.
Work type: Finance, Financial Markets and Banking
Language: English
Pages: 77
Awards and prizes:
Abstract: In 2003 European Central Bank issued a qualitative survey of financing conditions.
Called bank lending survey (BLS) and including 22 questions on credit
standards, credit terms and conditions, and loan demand, the BLS was supposed
to act as an additional information stream for the European Central Bank to
be able to differentiate between supply and demand effects. This thesis gathers
available BLS answers and evaluates their potential use in an early warning
system. According to AUROC analysis of various logit models, based partially
on traditional early warning indicators (EWIs) and partially on the BLS data,
the study picks 27 BLS variables that significantly improve performance of the
current EWIs over the period of 2003-2017.


McKinsey & Company
Moneta Money Bank