This paper employs a panel vector autoregressive model for the member countries of the Euro Area to explore the role of banks during the slump of the real economy that followed the financial crisis. In particular, we seek to quantify the macroeconomic effects of adverse loan supply shocks, which...

This paper examines the transmission of GDP growth and GDP growth volatility among the G7 countries over the period 1960 q1 - 2009 q3, using a multivariate generalized autoregressive conditional heteroskedasticity (MGARCH) model to identify the source and magnitude of spillovers. Results...

This paper examines the transmission of GDP growth and GDP growth volatility among the G7 countries over the period 1960Q1 – 2010Q4, using a multivariate GARCH model and volatility impulse response functions (VIRFs) to identify the source, magnitude and the duration of volatility spillovers....