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

Listed author(s):
  • Calza, Alessandro
  • Sousa, João

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

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File URL: http://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp481.pdf
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Paper provided by European Central Bank in its series Working Paper Series with number 0481.

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Date of creation: Apr 2005
Handle: RePEc:ecb:ecbwps:20050481
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