This dissertation consists of four papers, each with an application of a discrete dependent variable model, censored regression or duration model to a credit market phenomenon or monetary policy question. The first three essays deal with bank lending policy, while the last one studies interest rate policy by Central Banks. In the first essay, a bivariate probit model is estimated to contrast the factors that influence banks’ loan granting decision and individuals’ risk of default. This model is used as a tool to construct a Value at Risk measure of the credit risk involved in a portfolio of consumer loans and to investigate the efficiency of bank lending policy. The second essay takes the conclusions from the first paper as a starting point. It investigates if the fact that banks do not minimize default risk can be explained by the existence of return maximization policy. For this purpose, a Tobit model with sample selection effects and variable censoring limits is developed and estimated on the survival times of consumer loans. The third paper focuses on dormancy, instead of default risk or survival time, as the most important factor affecting risk and return in bank lending. By means of a duration model the factors determining the transition from an active status to dormancy are studied. The estimated model is used to predict the expected durations to dormancy and to analyze the expected profitability for a sample loan applicants. In the fourth paper, the discrete nature of Central Bank interest rate policy is studied. A grouped data model, that can take the long periods of time without changes in the repo rate by the Central Bank into account, is estimated on weekly Swedish data. The model is found to be reasonably good at predicting interest rate changes. / Diss. (sammanfattning) Stockholm : Handelshögsk.

This study is the first to focus primarily on the Swedish parish magasins, the country’s most widespread credit institution in the last half of the 18th, and the first part of the 19th, century. During the Early Modern Period, grain price volatility was a matter of great concern. The parish magasins were conceived as a substitute for government action intended to stabilize grain prices and offer relief in case of crop failure. The thesis analyzes the problems of harvest variability and grain price fluctuations utilizing both   theory and empirical evidence. It is concluded that market integration, especially by permitting imports, was more effective than inter-harvest storage in reducing the likelihood of high prices. Initially the peasants were sceptical of the new institution. Although the establishment of the magasins was strictly speaking voluntary, substantial hierarchical pressure was applied.  Once they had come into existence, however, the magasins evolved into a type of grain bank. The parishioners found them useful as a source of communal revenue at a time of rising need for local public expenditure for education and poor relief. In addition, the failure of the grain market to meet the needs of the peasantry created a demand for loans in kind. Although by no means ideal, in the absence of any superior institutions, the magasins provided valuable services. When improvements in both municipal finance and the functioning of the grain markets occurred in the second half of the 19th century, the magasins became obsolete. Both history and geography impact the formation of institutions. This study describes one such case of institutional development and attempts to explain why the outcome deviated from the original intention. / <p>Diss. Stockholm : Handelshögskolan i Stockholm, 2007</p>