restricted ( 840 obs, 28 countries, longer time series)
• Very simple baseline model...*
9
Highlights – full sample
• Strong evidence against the random walk...
lending (BoE)
Risk sharing credit schemes in place from 2010
Special lending model...rate on long-
term corporate loans (July 2013) 5,58
Government credit schemes -...
• Put simply, YES
– Proposed model works best where bank credit
dominates (e.g....Other Series
• Real GDP, GDP Deflator, Commodity prices
– Defines basic macro...
volattility implied by the market price of an option based on the Black-
Scholes model...ce
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difference (right) ESTR OIS...
