Has the credit supply shock asymmetric effects on macroeconomic variables?

Arbeitspapier

We investigate the role played by the credit supply shock 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 and negative effects on macroeconomic variables. We find that the state-dependent forecast error variance decomposition of industrial production, employment, and inflation due to the shock is from six to eight times larger in recessions than in normal times.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Quaderni - Working Paper DSE ; No. 1140

Classification and Topics

• Classification: Wirtschaft ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models ; Business Fluctuations; Cycles ; Monetary Policy
• Subject: Credit supply shock ; Smooth Transition VAR ; Nonlinearities

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Colombo, Valentina ; Paccagnini, Alessia
• Event: Veröffentlichung
• (who): Alma Mater Studiorum - Università di Bologna, Dipartimento di Scienze Economiche (DSE)
• (where): Bologna
• (when): 2020

Further information

• DOI: doi:10.6092/unibo/amsacta/6308
• Handle: http://hdl.handle.net/10419/213537
• Last update: 10.03.2025, 11:43 AM CET