Credit Shocks Fade, Output Shocks Persist: A Meta-Analysis of 2,600 VAR Estimates Across 63 Countries

Jan Janku, Simona Malovana, Josef Bajzik, Klara Moravcova and Ngoc Anh Ngo

Working Papers from Czech National Bank, Research and Statistics Department

Abstract: Credit cycles have become longer and more pronounced since the mid-1980s, often amplifying business cycle downturns. While many studies examine the interplay between credit and output, they disagree on the strength and persistence of these effects. We conduct a meta-analysis of over 2,600 point estimates extracted from impulse response functions reported in 68 VAR-based studies across 63 countries. We find that output reacts quickly but briefly to credit shocks, whereas credit responses to output shocks are larger and more persistent, especially in advanced economies. Publication bias inflates reported effects, yet adjusted estimates remain economically significant. We also document substantial heterogeneity, with stronger responses in European samples, studies of corporate credit, and models using Bayesian methods or sign restrictions. These findings help clarify the typical dynamics between credit and output, informing monetary and macroprudential policy design.

Keywords: Credit cycles; impulse response functions; meta-analysis; output; publication bias (search for similar items in EconPapers)
JEL-codes: C32 C83 E32 G21 (search for similar items in EconPapers)
Date: 2025-09
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