Konferenzbeitrag
The Financial Accelerator in the Euro Area: New Evidence Using a Mixture VAR Model
We estimate a logit mixture vector autoregressive model describing monetary policy transmission in the euro area over the period 2003Q1-2019Q4 with a special emphasis on credit conditions. With the help of this model, monetary policy transmission can be described as mixture of two states (e.g., a normal state and a crisis state), using an underlying logit model determining the relative weight of these states over time. We show that shocks to the credit spread and shocks to credit standards directly lead to a reduction of real GDP growth, whereas shocks to the quantity of credit are slightly less important in explaining growth fluctuations. The credit spread and - to some extent - credit standards are also the key determinants of the underlying state of the economy in the logit submodel. Together with a more pronounced transmission of monetary policy shocks in the crisis state, this provides further evidence for a financial accelerator in the euro area. Finally, the detrimental effect of credit conditions is also reflected in the labor market.
- Language
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Englisch
- Bibliographic citation
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Series: Beiträge zur Jahrestagung des Vereins für Socialpolitik 2021: Climate Economics
- Classification
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Wirtschaft
Financial Markets and the Macroeconomy
Monetary Policy
Central Banks and Their Policies
Banks; Depository Institutions; Micro Finance Institutions; Mortgages
- Subject
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Credit growth
credit spread
credit standards
euro area
financial accelerator
mixture VAR
monetary policy transmission
- Event
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Geistige Schöpfung
- (who)
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Bennani, Hamza
Burgard, Jan Pablo
Neuenkirch, Matthias
- Event
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Veröffentlichung
- (who)
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ZBW - Leibniz Information Centre for Economics
- (where)
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Kiel, Hamburg
- (when)
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2021
- Handle
- Last update
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10.03.2025, 11:44 AM CET
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
- Konferenzbeitrag
Associated
- Bennani, Hamza
- Burgard, Jan Pablo
- Neuenkirch, Matthias
- ZBW - Leibniz Information Centre for Economics
Time of origin
- 2021
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