Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/213537
Authors: 
Colombo, Valentina
Paccagnini, Alessia
Year of Publication: 
2020
Series/Report no.: 
Quaderni - Working Paper DSE 1140
Abstract: 
We investigate the role played by the credit supply shock across the business cycle in the U.S. over the period 1973 - 2018. We estimate a nonlinear VAR including nominal, real, monetary, and financial variables. According to our results, a credit supply shock triggers asymmetric and negative effects on macroeconomic variables. We find that the state-dependent forecast error variance decomposition of industrial production, employment, and inflation due to the shock is from six to eight times larger in recessions than in normal times.
Subjects: 
Credit supply shock
Smooth Transition VAR
Nonlinearities
JEL: 
C32
E32
E52
Persistent Identifier of the first edition: 
Creative Commons License: 
https://creativecommons.org/licenses/by-nc/3.0/
Document Type: 
Working Paper

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