instrumental variable procedure to estimate the impact of the credit shock performs well and is relatively robust to measurement …, VARs of the narrative variety, i.e. VAR models that include measures of the credit shock as endogenous variables are highly … suggests, however, that the credit supply shock is hard to identify in practice. …

instruments is effective in recovering the underlying shock. In contrast, identification based on recursive schemes and …

-Carlo experiments. The estimated impulse responses indicate that a positive shock to the target is associated with a large increase in …

-Carlo experiments. The estimated impulse responses indicate that a positive shock to the target is associated with a large increase in …

and more persistent than those suggested by a small-scale Proxy SVAR. …