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The financial accelerator in the euro area : new evidence using a mixture VAR model

Bennani, Hamza; Burgard, Jan Pablo; Neuenkirch, Matthias - 2021 - This Version: July 22, 2021

We estimate a logit mixture vector autoregressive model describing monetary policy transmission in the euro area over the period 2003Q1-2019Q4 with a special emphasis on credit conditions. With the help of this model, monetary policy transmission can be described as mixture of two states (e.g.,...

Persistent link: https://www.econbiz.de/10012320523

The financial accelerator in the euro area : new evidence using a mixture VAR model

Bennani, Hamza; Neuenkirch, Matthias - 2020

We estimate a logit mixture vector autoregressive model describing monetary policy transmission in the euro area over the period 2003Q1–2019Q4 with a special emphasis on credit conditions. With the help of this model, monetary policy transmission can be described as mixture of two states...

Persistent link: https://www.econbiz.de/10012383710