In this paper, we examine empirically whether credit plays a role as a nonlinear propagator
of shocks. This propagation takes the form of a threshold vector autoregression in which a …

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 …

We study the business cycle consequences of credit supply expansion in the US The 1980's
credit boom resulted in stronger credit expansion in more deregulated states, and these …

Business cycles appear to be large, persistent, and asymmetric relative to the shocks hitting
the economy. This observation suggests the existence of an asymmetric amplification and …

In the aftermath of the recent financial crisis, a variety of structural vector autoregression
(VAR) models have been proposed to identify credit supply shocks. Using a Monte Carlo …

Linear Vector Autoregression (VAR) models provide a useful starting point for analysing
multivariate relationships between economic variables. They are frequently used for …

Is credit expansion a sign of desirable financial deepening or the prelude to an inevitable
bust? We study this question in modern US data using a structural VAR model of 10 monthly …

We study the behavior of credit and output across a financial crisis cycle using in-formation
from credit spreads and credit growth. We show the transition into a crisis occurs with a large …

Recent work in macroeconomics emphasizes the role of credit in the transmission
mechanism for monetary policy and as a propagation mechanism of business cycle shocks …

This paper presents two dynamic models of the economy in which credit constraints arise
because creditors cannot force debtors to repay debts unless the debts are secured by …