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.
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