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

Valentina Colombo, Alessia Paccagnini

Risultato della ricerca: Contributo in rivistaArticolo in rivistapeer review

2 Citazioni (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.
Lingua originaleEnglish
pagine (da-a)108958-108970
Numero di pagine13
RivistaEconomics Letters
Volume188
DOI
Stato di pubblicazionePubblicato - 2020

Keywords

  • Credit supply shock
  • Nonlinearities
  • Smooth Transition VAR

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