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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 instruments is effective in recovering the underlying...
Persistent link: https://www.econbiz.de/10010484833
simple Monte-Carlo experiment, we generate data from a DSGE model that features bank lending and credit supply shocks and use …
Persistent link: https://www.econbiz.de/10010339749