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:	[2021]
Authors:	Calza, Alessandro ; Sousa, João
Publisher:	[S.l.] : SSRN
Subject:	Eurozone \| Euro area \| Schock \| Shock \| EU-Staaten \| EU countries \| Bruttoinlandsprodukt \| Gross domestic product \| Kredit \| Credit \| VAR-Modell \| VAR model \| Zeitreihenanalyse \| Time series analysis \| Inflation

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Extent:	1 Online-Ressource (32 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments April 2005 erstellt
Other identifiers:	10.2139/ssrn.704555 [DOI]
Classification:	E51 - Money Supply; Credit; Money Multipliers ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; C32 - Time-Series Models
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013318588