Hristov, Nikolay Hülsewig, Oliver Wollmershäuser, Timo
Year of Publication:
CESifo working paper: Monetary Policy and International Finance 3395
This paper employs a panel vector autoregressive model for the member countries of the Euro Area to explore the role of banks during the slump of the real economy that followed the financial crisis. In particular, we seek to quantify the macroeconomic effects of adverse loan supply shocks, which are identified using sign restrictions. We find that loan supply shocks significantly contributed to the evolution of the loan volume and real GDP growth in all member countries during the financial crisis. However, concerning both, the timing and the magnitude of the shocks our results also indicate that the Euro Area was characterized by a considerable degree of cross-country heterogeneity.
Euro Area panel vector autoregressive model sign restrictions loan supply shocks