This paper investigates whether firms’ access to credit is characterized by state dependence. We introduce a first-order Markov model of credit restriction with sample selection that makes it possible to identify state dependence in presence of unobserved heterogeneity. The results, based on a representative sam- ple of Italian firms, show that state dependence in access to credit is a statistically and economically significant phenomenon and that this is more prominent among medium-large firms.
State Dependence in Access to Credit / Pigini, Claudia; Presbitero Andrea, F.; Zazzaro, Alberto. - In: JOURNAL OF FINANCIAL STABILITY. - ISSN 1572-3089. - 27:1(2016), pp. 17-34. [10.1016/j.jfs.2016.08.003]
State Dependence in Access to Credit
Zazzaro Alberto
2016
Abstract
This paper investigates whether firms’ access to credit is characterized by state dependence. We introduce a first-order Markov model of credit restriction with sample selection that makes it possible to identify state dependence in presence of unobserved heterogeneity. The results, based on a representative sam- ple of Italian firms, show that state dependence in access to credit is a statistically and economically significant phenomenon and that this is more prominent among medium-large firms.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
