Credit and Economic Activity: Credit Regimes and Nonlinear Propagation of Shocks

Nathan Balke

The Review of Economics and Statistics, 2000, vol. 82, issue 2, 344-349

Abstract: In this paper, we examine empirically whether credit plays a role as a nonlinear propagator of shocks. This propagation takes the form of a threshold vector autoregression in which a regime change occurs if credit conditions cross a critical threshold. Using nonlinear impulseresponse functions, we evaluate the dynamics implied by the threshold model. These suggest that shocks have a larger effect on output in the ''tight'' credit regime than is normally the case, and that contractionary monetary shocks typically have a larger effect than expansionary shocks. Finally, using a nonlinear version of historical decompositions, we attempt to determine the relative contribution to output growth of shocks and the nonlinear structure. © 2000 by the President and Fellows of Harvard College and the Massachusetts Institute of Technology

Date: 2000
References: Add references at CitEc
Citations: View citations in EconPapers (275)

Downloads: (external link)
http://www.mitpressjournals.org/doi/pdf/10.1162/rest.2000.82.2.344 (application/pdf)
Access to full text is restricted to subscribers.

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:tpr:restat:v:82:y:2000:i:2:p:344-349

Ordering information: This journal article can be ordered from
https://mitpressjour ... rnal/?issn=0034-6535

Access Statistics for this article

The Review of Economics and Statistics is currently edited by Pierre Azoulay, Olivier Coibion, Will Dobbie, Raymond Fisman, Benjamin R. Handel, Brian A. Jacob, Kareen Rozen, Xiaoxia Shi, Tavneet Suri and Yi Xu

More articles in The Review of Economics and Statistics from MIT Press
Bibliographic data for series maintained by The MIT Press ().