Title: Has the credit supply shock asymmetric effects on macroeconomic variables?
Authors: Alessia Paccagnini - University College Dublin (Ireland) [presenting]
Valentina Colombo - University of Bologna (Italy)
Abstract: The role played by the credit supply shock across the business cycle in the U.S. over the period 1973 - 2018 is investigated. We estimate a nonlinear VAR including nominal, real, monetary, and financial variables. According to our results, a credit supply shock triggers asymmetric and negative effects on macroeconomic variables. We find that the state-dependent forecast error variance decomposition of industrial production, employment, and inflation due to the shock is from six to eight times larger in recessions than in normal times.