Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/311015 
Year of Publication: 
2022
Citation: 
[Journal:] Empirical Economics [ISSN:] 1435-8921 [Volume:] 64 [Issue:] 4 [Publisher:] Springer [Place:] Berlin, Heidelberg [Year:] 2022 [Pages:] 1559-1597
Publisher: 
Springer, Berlin, Heidelberg
Abstract: 
They do. Partly. We identify credit supply shocks via sign restrictions in a Bayesian VAR and separate them into positive and negative. Using local projections, we find that positive credit supply shocks leave notably different prints in private debt, mortgage debt, and debt-to-GDP, as opposed to negative credit supply shocks. This pattern is caused by the response of household mortgage debt. Furthermore, we find evidence that positive credit supply shocks are the driving force behind boom-bust cycles. Yet, developments behind the boom-bust cycle cannot explain the strong and persistent response in debt; but house prices tend to. However, if we abstract from potential asymmetries, we get rather mild results, which underestimate the true effects of credit supply shocks.
Subjects: 
Credit supply shocks
Household debt
Asymmetry
Local projections
JEL: 
C11
E21
E22
E32
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article
Document Version: 
Published Version

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