Does the credit supply shock have asymmetric effects on macroeconomic variables?
2020
Colombo, Valentina | Paccagnini, Alessia
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.
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书目信息
Economics letters
卷
188
页码
108958
ISSN
0165-1765
出版者
Elsevier B.V.
其它主题
Credit supply shock; United states; C32; Smooth transition var; Variance; E32; E52; Nonlinearities
语言
英语
类型
Journal Article; Text
2024-02-28
MODS