Arbeitspapier
Has the credit supply shock asymmetric effects on macroeconomic variables?
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.
- Sprache
-
Englisch
- Erschienen in
-
Series: Quaderni - Working Paper DSE ; No. 1140
- Klassifikation
-
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
- Thema
-
Credit supply shock
Smooth Transition VAR
Nonlinearities
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Colombo, Valentina
Paccagnini, Alessia
- Ereignis
-
Veröffentlichung
- (wer)
-
Alma Mater Studiorum - Università di Bologna, Dipartimento di Scienze Economiche (DSE)
- (wo)
-
Bologna
- (wann)
-
2020
- DOI
-
doi:10.6092/unibo/amsacta/6308
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Colombo, Valentina
- Paccagnini, Alessia
- Alma Mater Studiorum - Università di Bologna, Dipartimento di Scienze Economiche (DSE)
Entstanden
- 2020
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