What do VARs tell us about the impact of a credit supply shock?

DOI10.1111/IERE.12282MaRDI QIDQ4685641zbMATH OpenOpenAlexFDO

Authors Haroon Mumtaz, G. Pinter, Konstantinos Theodoridis

Publication date 9 October 2018

Published in International Economic Review (Search for Journal in Brave)

Full work available at URL http://qmro.qmul.ac.uk/xmlui/handle/123456789/21042

zbMATH Keywords

credit supply shocksGDP growthvector autoregression models

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic growth models (91B62) Credit risk (91G40)

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Cited in

(9)

• Macroeconomic effects of sectoral shocks in Germany, the U.K. and the U.S.: A VAR-GARCH-M approach
• Proxy SVAR identification of monetary policy shocks -- Monte Carlo evidence and insights for the US
• Research on stress test of commercial banks based on SVAR model
• Do credit market shocks drive output fluctuations? Evidence from corporate spreads and defaults
• SVARs Identification Through Bounds on the Forecast Error Variance
• Term structures and firm dynamics: a FAVAR approach
• Corporate earnings announcements and economic activity
• Max Share Identification of Multiple Shocks: An Application to Uncertainty and Financial Conditions
• Bank lending standards and the U.S. economy

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