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Credit supply shocks in the Netherlands

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  • Duchi, Fabio
  • Elbourne, Adam

Abstract

We investigate the role of credit supply shocks in the Netherlands in a structural VAR framework following the identification scheme proposed by Barnett and Thomas (2014). We find evidence that positive credit supply shocks boosted growth in the years leading up to 2007 before adverse credit supply shocks depressed GDP growth between 2008 and early 2012. From late 2012 onwards, credit supply shocks were not important factors behind the sluggish GDP growth in the Netherlands. When looking at which components of GDP are most affected by credit supply shocks, we find evidence that investment is hit considerably harder than consumption, although it recovers more quickly.

Suggested Citation

  • Duchi, Fabio & Elbourne, Adam, 2016. "Credit supply shocks in the Netherlands," Journal of Macroeconomics, Elsevier, vol. 50(C), pages 51-71.
  • Handle: RePEc:eee:jmacro:v:50:y:2016:i:c:p:51-71
    DOI: 10.1016/j.jmacro.2016.09.001
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    Cited by:

    1. Jorge E. Galán & Javier Mencía, 2018. "Empirical assessment of alternative structural methods for identifying cyclical systemic risk in Europe," Working Papers 1825, Banco de España;Working Papers Homepage.
    2. Budnik, Katarzyna & Mozzanica, Mirco Balatti & Dimitrov, Ivan & Groß, Johannes & Hansen, Ib & Kleemann, Michael & Sanna, Francesco & Sarychev, Andrei & Siņenko, Nadežda & Volk, Matjaz & Covi, Giovanni, 2019. "Macroprudential stress test of the euro area banking system JEL Classification: E37, E58, G21, G28," Occasional Paper Series 226, European Central Bank.
    3. Gabriel Rodríguez & Carlos Guevara, 2018. " The Role of Loan Supply Shocks in Pacific Alliance Countries: A TVP-VAR-SV Approach," Documentos de Trabajo / Working Papers 2018-467, Departamento de Economía - Pontificia Universidad Católica del Perú.
    4. Mandler, Martin & Scharnagl, Michael, 2019. "Bank loan supply shocks and alternative financing of non-financial corporations in the euro area," Discussion Papers 23/2019, Deutsche Bundesbank.

    More about this item

    Keywords

    Credit supply; Great recession; VAR models; Sign restrictions; Zero restrictions;

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E51 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Money Supply; Credit; Money Multipliers
    • G01 - Financial Economics - - General - - - Financial Crises

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