Output and inflation responses to credit shocks: are there threshold effects in the euro area?

Alessandro Calza and João Sousa

No 481, Working Paper Series from European Central Bank

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 US. 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. JEL Classification: E51, C15, C32

Keywords: asymmetric shocks; credit; euro area; non-linearities (search for similar items in EconPapers)
Date: 2005-04
Note: 338639
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (19)

Downloads: (external link)
https://www.ecb.europa.eu//pub/pdf/scpwps/ecbwp481.pdf (application/pdf)

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:ecb:ecbwps:2005481

Access Statistics for this paper

More papers in Working Paper Series from European Central Bank 60640 Frankfurt am Main, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Official Publications ().