Output and inflation responses to credit shocks : are there threshold effects in the euro area?

by Alessandro Calza and João Sousa

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

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Year of publication:	2005
Other Persons:	Calza, Alessandro (contributor) ; Sousa, João (contributor)
Publisher:	Frankfurt am Main : European Central Bank
Subject:	Kredit \| Credit \| Schock \| Shock \| Zeitreihenanalyse \| Time series analysis \| VAR-Modell \| VAR model \| Bruttoinlandsprodukt \| Gross domestic product \| Eurozone \| Euro area \| EU-Staaten \| EU countries \| 1981-2002

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Extent:	Online Ressource, 30 p. = 845 KB, text Ill
Series:	Working paper series / European Central Bank. - Frankfurt, M. : European Central Bank, ISSN 1725-2806, ZDB-ID 2123559-4. - Vol. 481
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature
Language:	English
Notes:	Record-last-verified: 10-08-05 Systemvoraussetzungen: Acrobat Reader
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10003014229