Mumtaz, Haroon; Pinter, Gabor; Theodoridis, Konstantinos - School of Economics and Finance, Queen Mary - 2014
This paper evaluates the performance of structural VAR models in estimating the impact of credit supply shocks. In a … simple Monte-Carlo experiment, we generate data from a DSGE model that features bank lending and credit supply shocks and use … suggests, however, that the credit supply shock is hard to identify in practice. …