I employ the threshold Bayesian VAR with block restrictions to evaluate the nonlinear dynamics across different interest rate regimes using the example of the Czech Republic. The study compounds the information on aggregate credit and non-performing loans (NPL) to find that the procyclicality of...

Various approaches have been employed to study the possibility of non-linear feedback between the real and financial sector. We employ the threshold Bayesian VAR with block restrictions to evaluate the non-linear dynamics in a small open economy using the example of the Czech Republic. The study...