This paper compares the financial destabilizing effects of excess liquidity versus credit growth, in relation to house price bubbles and real economic booms. The analysis uses a cointegrated VAR model based on US data from 1987 to 2010 with a particulary focus on the period preceding the global...

The purpose of this paper is to investigate whether a credit crunch occurred in Germany during the recent financial crisis and to analyze the underlying factors. In order to disentangle credit supply and demand we specify a theory-based dynamic disequilibrium model of the German credit market....

The purpose of this paper is to investigate whether a credit crunch occurred in Germany during the recent financial crisis and to analyze the underlying factors. In order to disentangle credit supply and demand we specify a theory-based dynamic disequilibrium model of the German credit market....

Standard simple-sum monetary aggregates, like M3, sum up monetary assets that are imperfect substitutes and provide different transaction and investment services. Divisia monetary aggregates, originated from Barnett (1980), are derived from economic aggregation and index number theory and aim to...

Standard simple-sum monetary aggregates, like M3, sum up monetary assets that are imperfect substitutes and provide different transaction and investment services. Divisia monetary aggregates, originated from Barnett (1980), are derived from economic aggregation and index number theory and aim to...

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 examine the real effects of credit-supply shocks using a series of structural vector autoregressive models estimated on the basis on a new quarterly data set for Denmark spanning the past 90 years or so. We find no effects on the unemployment level from supply shocks to credit from...

This paper studies the relationship between the business cycle and financial intermediation in the euro area. We establish stylized facts and study their stability during the global financial crisis and the European sovereign debt crisis. Long-term interest rates have been exceptionally high and...

In this paper, we propose a new framework to jointly calibrate cyclical and structural capital requirements. For this, we integrate a non-linear macroeconomic model and a stress test model. In the macroeconomic model, the severity of the scenarios depends on the level of cyclical risk....

In this study we examine the dynamic interactions between credit growth and output growth using the spillover index approach of Diebold and Yilmaz (2012). Based on quarterly data on credit growth and GDP growth over the period 1957Q1-2012Q4 for the G7 countries we find that: i) spillovers...