Has the credit supply shock asymmetric effects on macroeconomic variables?

Colombo, Valentina ; Paccagnini, Alessia (2020) Has the credit supply shock asymmetric effects on macroeconomic variables? Bologna: Dipartimento di Scienze economiche, p. 18. DOI 10.6092/unibo/amsacta/6308. In: Quaderni - Working Paper DSE (1140). ISSN 2282-6483.
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Abstract

We investigate the role played by the credit supply shock across the business cycle in the U.S. over the period 1973 - 2018. We estimate a nonlinear VAR including nominal, real, monetary, and financial variables. According to our results, a credit supply shock triggers asymmetric and negative effects on macroeconomic variables. We find that the state-dependent forecast error variance decomposition of industrial production, employment, and inflation due to the shock is from six to eight times larger in recessions than in normal times.

Abstract
Document type
Monograph (Working Paper)
Creators
CreatorsAffiliationORCID
Colombo, ValentinaUniversità di Bologna0000-0003-1318-9458
Paccagnini, AlessiaUniversity College Dublin0000-0002-2421-7242
Keywords
Credit supply shock, Smooth Transition VAR, Nonlinearities
Subjects
ISSN
2282-6483
DOI
Deposit date
09 Jan 2020 11:15
Last modified
09 Jan 2020 11:15
URI

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