Does the credit supply shock have asymmetric effects on macroeconomic variables?

Valentina Colombo, Alessia Paccagnini

Research output: Contribution to journalArticlepeer-review

2 Citations (Scopus)

Abstract

We investigate the role played by credit supply shocks across the business cycle in the U.S. over the period 1973–2018. We estimate a nonlinear VAR including nominal, real, monetary, and financial variables. According to our results, a credit supply shock triggers asymmetric effects on macroeconomic variables. We find that the share of variance of industrial production, employment, and inflation due to the shock is from six to eight times larger in recessions than in normal times.
Original languageEnglish
Pages (from-to)108958-108970
Number of pages13
JournalEconomics Letters
Volume188
DOIs
Publication statusPublished - 2020

Keywords

  • Credit supply shock
  • Nonlinearities
  • Smooth Transition VAR

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