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Do Credit Supply Shocks Have Asymmetric Effects?
They do. Partly. We identify credit supply shocks via sign restrictions in a Bayesian VAR and separate them into positive and negative. Using local projections, we find that positive credit supply shocks leave notably different prints in private debt, mortgage debt, and debt:GDP, as opposed to ne...
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| Wydane w: | MAGKS - Joint Discussion Paper Series in Economics (Band 26-2020) |
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| Główni autorzy: | , |
| Format: | Artykuł |
| Język: | angielski |
| Wydane: |
Philipps-Universität Marburg
2020
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| Hasła przedmiotowe: | |
| Dostęp online: | PDF pełnotekstowe |
| Etykiety: |
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| Streszczenie: | They do. Partly. We identify credit supply shocks via sign restrictions in
a Bayesian VAR and separate them into positive and negative. Using local
projections, we find that positive credit supply shocks leave notably different
prints in private debt, mortgage debt, and debt:GDP, as opposed to negative
credit supply shocks. This pattern is caused by the response of household
mortgage debt. Furthermore, we find evidence that positive credit supply
shocks are the driving force behind boom-bust cycles. Yet, developments
behind the boom-bust cycle cannot explain the strong and persistent response in debt; but house prices tend to. However, if we abstract from potential asymmetries, we get rather mild results, which underestimate the true effects of credit supply shocks. |
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| Opis fizyczny: | 43 Seiten |
| ISSN: | 1867-3678 |
| DOI: | 10.17192/es2024.0653 |