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State dependence in access to credit
Affiliation:1. Università Politecnica delle Marche and MoFiR, Italy;2. International Monetary Fund and MoFiR, Italy;3. University of Naples Federico II, Università Politecnica delle Marche, MoFiR and CSEF, Italy;1. Newcastle Business School, University of Newcastle, Newcastle NSW 2300, Australia;2. Department of Banking and Finance, Monash University, Caulfield, Victoria 3145, Australia;1. Goethe University Frankfurt, Germany;2. Goethe University Frankfurt, CEPR and CFS, Theodor-W. Adorno Platz 3, 60323 Frankfurt am Main, Germany;1. University of Lille 2, Lille, France;2. Foreign Trade University, Vietnam;3. Skema Business School-LSMRC, Lille, France;1. Czech National Bank, Na Příkopě 28, 115 03 Prague 1, Czech Republic;2. Charles University Prague, Ovocný trh 3-5, 116 36 Prague 1, Czech Republic;3. University of Finance and Administration Prague, Estonská 500/3, 101 00 Praha 10, Czech Republic;1. Federal Reserve Bank of Richmond, 701 E Byrd St, Richmond, VA 23219, United States;2. Department of Economics, University of Texas at San Antonio, One UTSA Circle San Antonio, TX 78249, United States;3. Quinlan School of Business, Loyola University Chicago, 820 N. Michigan Ave., Chicago, IL 60611, United States;4. School of Accounting and Finance, Ted Rogers School of Management, Ryerson University, 350 Victoria St., Toronto, ON M5B 2K3, Canada
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 sample 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.
Keywords:Credit constraints  State dependence  Discouraged borrowers  First-order Markov model
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