Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/229035
Authors: 
Bräuer, Leonie
Rünstler, Gerhard
Year of Publication: 
2020
Series/Report no.: 
ECB Working Paper No. 2421
Abstract: 
We study state dependence in the impact of monetary policy shocks over the leverage cycle for a panel of 10 euro area countries. We use a Bayesian Threshold Panel SVAR with regime classifications based on credit and house prices cycles. We find that monetary policy shocks trigger a smaller response of GDP, but a larger response of in ation during low states of the cycle. The shift in the inflation-output trade-off may result from higher macro-economic uncertainty in low leverage states. For an alternative regime classification based on turning points we find larger effects on GDP during contractions.
Subjects: 
Monetary Policy
Financial Cycle
Bayesian Threshold Panel VAR
JEL: 
C32
E32
E44
Persistent Identifier of the first edition: 
ISBN: 
978-92-899-4064-1
Document Type: 
Working Paper

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