How do aggregate quantities at the business cycle frequency respond to shocks to the spread between residential mortgage rates and government bonds? Using a structural VAR approach, we find that mortgage spread shocks impact the real economy by both economically and statistically significant...

This paper investigates the credit channel in Germany and the United Kingdom. The financial systems of these two countries show substantial structural differences, which leads one to expect that their real sectors respond differently to changes in monetary policy. To the extent that this is the...

This paper reveals cross-country evidence on how the development of the financial system affects business cycle's volatility. The link between credit markets and economic activity has been the focus of extensive literature, but no cross-country empirical study relating the volatility of economic...