The Amiti–Weinstein estimator: An equivalence result

Tielens, Joris; Hove, Jan Van

doi:10.1016/j.econlet.2016.11.039

Cited by 7 publications

(7 citation statements)

References 7 publications

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“…8 All in all, entities at this level of consolidation are rarely specialized in lending towards a specific industry. 9 Alternatively, we aggregate firms at their NACE-2 sector level, running the credit 6 Their method adopts weighted least squares and normalizes the coefficients to the median bank and the median firm component (see also Tielens and Van Hove, 2017). AW prove that by using linear growth rates (instead of, e.g.…”

Section: Methodsmentioning

confidence: 99%

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Informing Macroprudential Policy Choices Using Credit Supply and Demand Decompositions

et al. 2022

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Section: Methodsmentioning

confidence: 99%

“…12 For the details of the AW estimation procedure via weighted least squares, we remind to Amiti andWeinstein (2018), especially Appendix B, C, andD, andto Tielens andVan Hove (2017).…”

Section: Methodsmentioning

confidence: 99%

Informing Macroprudential Policy Choices Using Credit Supply and Demand Decompositions

et al. 2022

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“…In practical terms, Tielens and Van Hove (2017) show that Amiti and Weinstein (2018)'s estimator is equivalent to the estimation of the regression model in Equation (3) through a weighted least square procedure, with lagged weights capturing the importance of each loan in aggregate credit.…”

Section: Identification Strategiesmentioning

confidence: 99%

“…17 17 Degryse et al (2019) also apply the methodology of Amiti and Weinstein (2018) through a weighted‐least‐square procedure suggested by Tielens and Van Hove (2017), except that they replace firm‐time fixed effects with ILTS fixed effects allowing them to also account for single‐bank relationships. …”

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confidence: 99%

The real effects of banks' corporate credit supply: A literature review

et al. 2021

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In this article, we review the rapidly growing literature on the real effects of banks' corporate credit supply. We cover recent methodological advances and provide an in-depth survey of the existing evidence. The literature consistently shows that credit supply contractions lead to adverse real outcomes, but economic magnitudes vary across samples and identification strategies. This variation has become smaller in more recent work, using highly granular data. We further document heterogeneity in firm outcomes and show that the evidence is more ambiguous for expansionary shocks. Our analysis allows us to identify current knowledge gaps and worthwhile avenues for future research.

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“…The relevance of one lending component for the other is captured using weights: in the universe of bank‐firm relationships, how relevant is any firm in the lending portfolio of a bank, and how important is any bank in the borrowing portfolio of a firm? Tielens and Van Hove () formally show that the application of these adding‐up constraints in an empirical setup with multiple‐bank firms is equivalent to using a weighted least squares procedure, with the relevance of each firm for a given bank as the weight.…”

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confidence: 99%

Introduction to the Symposium on Contemporary Banking Research: The Use of Fixed Effects to Disentangle Loan Demand From Loan Supply

2020

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With the onset of the financial crisis, disentangling the effects of loan demand and supply in contemporary banking research has become vital for a proper assessment of supply‐related banking shocks. These shocks may negatively affect the real economy through many channels, such as the lending channel of monetary policy transmission, the bank risk‐taking channel or the evaluation of macroprudential policy efficiency. All these rely on separating the two lending components. Empirical identification has largely relied on the use of demand‐related fixed effects, which has also been applied in several analyses within this symposium. (JEL G21)

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The Amiti–Weinstein estimator: An equivalence result

Cited by 7 publications

References 7 publications

Informing Macroprudential Policy Choices Using Credit Supply and Demand Decompositions

Informing Macroprudential Policy Choices Using Credit Supply and Demand Decompositions

The real effects of banks' corporate credit supply: A literature review

Introduction to the Symposium on Contemporary Banking Research: The Use of Fixed Effects to Disentangle Loan Demand From Loan Supply

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