In this study we examine the dynamic interactions between credit growth and output growth using the spillover index approach of Diebold and Yilmaz (2012). Based on quarterly data on credit growth and GDP growth over the period 1957Q1-2012Q4 for the G7 countries we find that: i) spillovers...

In this study we examine the dynamic interactions between credit growth and output growth using the spillover index approach of Diebold and Yilmaz (2012). Based on quarterly data on credit growth and GDP growth over the period 1957Q1-2012Q4 for the G7 countries we find that: i) spillovers...

We evaluate contributions of exogenous loan supply shocks to output dynamics during the Great Depression. Based on a structural VAR, we impose sign restrictions to identify loan supply shocks in addition to standard macroeconomic shocks. Our results indicate that the banking panics that occurred...

We study the transmission of monetary policy shocks to loan volumes using a structural VAR. To disentangle different transmission channels, we use aggregated data from the market for large certificates of deposits and apply a sign restrictions approach. We find that although the standard bank...

We use a factor-augmented VAR with time-varying parameters to study the transmission of monetary policy shocks and central bank information shocks associated with ECB announcements. We find time-variation in the volatilities of monetary policy shocks and information shocks and in the...

We study the transmission of monetary policy shocks to loan volumes using a structural VAR. To disentangle different transmission channels, we use aggregated data from the market for large certificates of deposits and apply a sign restrictions approach. We find that although the standard bank...