macroprudential simulations. We identify standard macroeconomic and credit supply shocks by sign and zero restrictions. In contrast to … the variance of endogenous variables at roughly similar order of magnitude. Second, it is shown that credit supply shocks …

macroprudential simulations. We identify standard macroeconomic and credit supply shocks by sign and zero restrictions. In contrast to … the variance of endogenous variables at roughly similar order of magnitude. Second, it is shown that credit supply shocks …

We study how credit supply shocks in the US, the euro area and Japan are transmitted to other economies. We use the … effect of reducing credit supply to the private sector. We find that negative US credit supply shocks have stronger negative … effects on domestic and foreign GDP, compared to credit supply shocks from the euro area and Japan. Domestic and foreign …

, on average, that credit supply shocks that raise spreads by 10 basis points reduce GDP growth and inflation by 1% after …This paper evaluates the performance of a variety of structural VAR models in estimating the impact of credit supply … shocks. Using a Monte-Carlo experiment, we show that identification based on sign and quantity restrictions and via external …

, on average, that credit supply shocks that raise spreads by 10 basis points reduce GDP growth and inflation by 1% after …This paper evaluates the performance of a variety of structural VAR models in estimating the impact of credit supply … shocks. Using a Monte-Carlo experiment, we show that identification based on sign and quantity restrictions and via external …

We study how US credit supply shocks are transmitted to other economies. We use the recently developed GVAR approach to … restrictions on the short-run impulse responses in the US model to identify the credit supply shocks. We find that negative credit … supply shocks have strong negative effects on US and foreign GDP. Credit and equity markets in several countries respond …

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 …