EconPapers    
Economics at your fingertips  
 

Output and Inflation Responses to Credit Shocks: Are There Threshold Effects in the Euro Area?

Calza Alessandro () and João Sousa ()
Additional contact information
Calza Alessandro: European Central Bank

Studies in Nonlinear Dynamics & Econometrics, 2006, vol. 10, issue 2, 1-21

Abstract: This paper investigates whether output and inflation respond asymmetrically to credit shocks in the euro area. The methodology, based on a non-linear VAR system, follows work by Balke (2000) for the U.S. The results reveal evidence of threshold effects related to credit conditions in the economy. Consistent with this finding, the impulse responses show some signs of asymmetric responses over the lending cycle. However, the results of the paper suggest that in the euro area non-linearities arising from credit market imperfections may be less pronounced than in the U.S., probably reflecting specific institutional features of its banking sector.

Date: 2006
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (18) Track citations by RSS feed

Downloads: (external link)
https://doi.org/10.2202/1558-3708.1253 (text/html)
For access to full text, subscription to the journal or payment for the individual article is required.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bpj:sndecm:v:10:y:2006:i:2:n:3

Ordering information: This journal article can be ordered from
https://www.degruyter.com/view/j/snde

DOI: 10.2202/1558-3708.1253

Access Statistics for this article

Studies in Nonlinear Dynamics & Econometrics is currently edited by Bruce Mizrach

More articles in Studies in Nonlinear Dynamics & Econometrics from De Gruyter
Bibliographic data for series maintained by Peter Golla ().

 
Page updated 2021-06-10
Handle: RePEc:bpj:sndecm:v:10:y:2006:i:2:n:3