Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/153662
Authors: 
Ciccarelli, Matteo
Peydró, José-Luis
Maddaloni, Angela
Year of Publication: 
2010
Series/Report no.: 
ECB Working Paper 1228
Abstract: 
Any empirical analysis of the credit channel faces a key identification challenge: changes in credit supply and demand are difficult to disentangle. To address this issue, we use the detailed answers from the US and the confidential and unique Euro area bank lending surveys. Embedding this information within a standard VAR model, we find that: (1) the credit channel is active through the balance-sheets of households, firms and banks; (2) the credit channel amplifies the impact of a monetary policy shock on GDP and inflation; (3) for business loans, the impact through the (supply) bank lending channel is higher than through the demand and balance-sheet channels. For household loans the demand channel is the strongest; (4) during the crisis, credit supply restrictions to firms in the Euro area and tighter standards for mortgage loans in the US contributed significantly to the reduction in GDP.
Subjects: 
bank lending channel
credit channel
credit crunch
Lending standards
monetary policy
Non-financial borrower balance-sheet channel
JEL: 
E32
E44
E5
G01
G21
Document Type: 
Working Paper

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