Arbeitspapier
Output and inflation responses to credit shocks: are there threshold effects in the euro area?
This paper investigates whether output and inflation respond asymmetrically to credit shocks in the euro area. The methodology, based on a non-linear VAR system, follows work by Balke (2000) for the US. The results reveal evidence of threshold effects related to credit conditions in the economy. Consistent with this finding, the impulse responses show some signs of asymmetric responses over the lending cycle.
- Language
-
Englisch
- Bibliographic citation
-
Series: ECB Working Paper ; No. 481
- Classification
-
Wirtschaft
Money Supply; Credit; Money Multipliers
Statistical Simulation Methods: General
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- Subject
-
asymmetric shocks
credit
euro area
non-linearities
Kredit
Schock
Zeitreihenanalyse
VAR-Modell
Bruttoinlandsprodukt
Eurozone
EU-Staaten
- Event
-
Geistige Schöpfung
- (who)
-
Calza, Alessandro
Sousa, João
- Event
-
Veröffentlichung
- (who)
-
European Central Bank (ECB)
- (where)
-
Frankfurt a. M.
- (when)
-
2005
- Handle
- Last update
-
10.03.2025, 11:45 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Calza, Alessandro
- Sousa, João
- European Central Bank (ECB)
Time of origin
- 2005
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