The multifaceted effect of monetary policy on U.S. credit aggregates

Maximilien Coussin

Journal of Macroeconomics, 2025, vol. 84, issue C

Abstract: Using a Factor-Augmented Vector Autoregressive (FAVAR) model and extensions, this paper investigates the impact of monetary policy on various credit aggregates in the United States over sixty years. The analysis reveals that monetary policy impacts different types of credit heterogeneously, with credit to the financial sector reacting particularly strongly. Bank-held credit exhibits notable sensitivity to monetary policy shocks. The effects of monetary policy are also conditional on the phases of the economic and financial cycles, showing a much stronger impact during periods of expansion. Additionally, a long-term strengthening of the transmission mechanisms suggests that substantial structural changes have occurred over the past six decades.

Keywords: Monetary policy; Credit aggregates; FAVAR; United States (search for similar items in EconPapers)
JEL-codes: E51 E52 E58 G10 G21 (search for similar items in EconPapers)
Date: 2025
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0164070425000114
Full text for ScienceDirect subscribers only

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:eee:jmacro:v:84:y:2025:i:c:s0164070425000114

DOI: 10.1016/j.jmacro.2025.103674

Access Statistics for this article

Journal of Macroeconomics is currently edited by Douglas McMillin and Theodore Palivos

More articles in Journal of Macroeconomics from Elsevier
Bibliographic data for series maintained by Catherine Liu ().