We evaluate the role played by loan supply shocks in the decline of investment and industrial production during the Great Depression in Germany from 1927 to 1932. We identify loan supply shocks in the context of a time varying parameter vector autoregression with stochastic volatility. Our...

We study the joint dynamics of foreign capital flows and real activity during the recent boom-bust cycle of the Spanish economy, using a three-country New Keynesian model with credit-constrained households and firms, a construction sector and a government. We estimate the model using...

They do. Partly. We identify credit supply shocks via sign restrictions in a Bayesian VAR and separate them into positive and negative. Using local projections, we find that positive credit supply shocks leave notably different prints in private debt, mortgage debt, and debt: GDP, as opposed to...

We evaluate the role played by loan supply shocks in the decline of investment and industrial production during the Great Depression in Germany from 1927 to 1932. We identify loan supply shocks in the context of a time varying parameter vector autoregression with stochastic volatility. Our...

We examine the drivers behind loan supply fluctuations in Russia using Bayesian vector autoregressive model with sign restrictions on impulse response functions. We identify two types of structural innovations: loan supply shock and monetary stance shock. We find that contractionary shocks of...

We review Bayesian inference for dynamic latent variable models using the data augmentation principle. We detail the difficulties of stimulating dynamic latent variables in a Gibbs sampler. We propose an alternative specification of the dynamic disequilibrium model which leads to a simple...