Calza, Alessandro; Sousa, João - In: Studies in Nonlinear Dynamics & Econometrics 10 (2006) 2
This paper investigates whether output and inflation respond asymmetrically to credit shocks in the euro area. The methodology, based on a non-linear VAR system, follows work by Balke (2000) for the U.S. The results reveal evidence of threshold effects related to credit conditions in the...