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.

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Year of publication:	2005
Authors:	Calza, Alessandro ; Sousa, João
Publisher:	Frankfurt a. M. : European Central Bank (ECB)
Subject:	Kredit \| Schock \| Zeitreihenanalyse \| VAR-Modell \| Bruttoinlandsprodukt \| Eurozone \| EU-Staaten \| asymmetric shocks \| credit \| euro area \| non-linearities

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Series:	ECB Working Paper ; 481
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	495120170 [GVK] hdl:10419/152915 [Handle] RePEc:ecb:ecbwps:20050481 [RePEc]
Classification:	E51 - Money Supply; Credit; Money Multipliers ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; C32 - Time-Series Models
Source:	EconStor

Persistent link: https://www.econbiz.de/10011604527