Credit supply dynamics and economic activity in euro area countries: a time-varying parameter VAR analysis

Martin Bijsterbosch and Matteo Falagiarda

No 1714, Working Paper Series from European Central Bank

Abstract: This paper aims to shed light on the role of credit supply shocks in euro area countries during the recent pre-crisis, bust, and post-crisis periods. A time-varying parameter vector autoregression (TVP-VAR) with stochastic volatility JEL Classification: C11, C32, E32, E51

Keywords: credit supply shocks; euro area; sign restrictions; TVP-VAR (search for similar items in EconPapers)
Date: 2014-08
New Economics Papers: this item is included in nep-ban, nep-eec and nep-mac
Note: 339019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (22)

Downloads: (external link)
https://www.ecb.europa.eu//pub/pdf/scpwps/ecbwp1714.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:20141714

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 ().