Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/152915
Authors: 
Calza, Alessandro
Sousa, João
Year of Publication: 
2005
Series/Report no.: 
ECB Working Paper 481
Abstract: 
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 US. The results reveal evidence of threshold effects related to credit conditions in the economy. Consistent with this finding, the impulse responses show some signs of asymmetric responses over the lending cycle.
Subjects: 
asymmetric shocks
credit
euro area
non-linearities
JEL: 
E51
C15
C32
Document Type: 
Working Paper

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