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

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.