Credit cycles and real activity - the Swiss case

Rolf Scheufele and Gregor Bäurle

VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy from Verein für Socialpolitik / German Economic Association

Abstract: This paper analyzes credit supply and demand shocks for the Swiss economy. Using a medium scale BVAR model we are able to take into account various interactions of housing prices, credit supply and demand, interest rates and real activity measures. To identify meaningful economic shocks, we used a combination of zero and sign restrictions. Generally, the empirical analysis implies that the effects of credit supply and demand shocks on real activity are limited, only playing a substantive role in specific episodes. Furthermore, the credit supply shocks (i.e. bank lending shocks and monetary policy shocks) explain a large fraction of housing price and credit fluctuations. Indeed, they tend to be more important for housing prices than housing demand shocks. There is further evidence that shocks related to credit supply, monetary policy shocks dominate bank lending shocks. For Switzerland as a small open economy it turns out to be very crucial to take into account foreign demand which is able to explain a substantial variation in real and financial variables.

JEL-codes: C11 C32 E44 (search for similar items in EconPapers)
Date: 2015
New Economics Papers: this item is included in nep-mac and nep-ure
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.econstor.eu/bitstream/10419/112931/1/VfS_2015_pid_471.pdf (application/pdf)

Related works:
Journal Article: Credit cycles and real activity: the Swiss case (2019)
Working Paper: Credit cycles and real activity - the Swiss case (2016)
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:zbw:vfsc15:112931

Access Statistics for this paper

More papers in VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy from Verein für Socialpolitik / German Economic Association Contact information at EDIRC.
Bibliographic data for series maintained by ZBW - Leibniz Information Centre for Economics ().