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Output and Inflation Responses to Credit Shocks: Are There Threshold Effects in the Euro Area?
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Alessandro Calza
Veröffentlicht/Copyright:
7. Mai 2006
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 U.S. 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. However, the results of the paper suggest that in the euro area non-linearities arising from credit market imperfections may be less pronounced than in the U.S., probably reflecting specific institutional features of its banking sector.
Published Online: 2006-5-7
©2011 Walter de Gruyter GmbH & Co. KG, Berlin/Boston
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- Instrumental-Variables Estimation in Markov Switching Models with Endogenous Explanatory Variables: An Application to the Term Structure of Interest Rates
- Unemployment and Inflation Regimes
- Output and Inflation Responses to Credit Shocks: Are There Threshold Effects in the Euro Area?
- Estimation of Value-at-Risk and Expected Shortfall based on Nonlinear Models of Return Dynamics and Extreme Value Theory
- On the Power of Absolute Convergence Tests
- Replication
- Corrigendum to "Are Real Exchange Rates Nonlinear or Non-Stationary? Evidence from a New Threshold Unit Root Test"
Artikel in diesem Heft
- Article
- Instrumental-Variables Estimation in Markov Switching Models with Endogenous Explanatory Variables: An Application to the Term Structure of Interest Rates
- Unemployment and Inflation Regimes
- Output and Inflation Responses to Credit Shocks: Are There Threshold Effects in the Euro Area?
- Estimation of Value-at-Risk and Expected Shortfall based on Nonlinear Models of Return Dynamics and Extreme Value Theory
- On the Power of Absolute Convergence Tests
- Replication
- Corrigendum to "Are Real Exchange Rates Nonlinear or Non-Stationary? Evidence from a New Threshold Unit Root Test"
