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

DOI10.1111/IERE.12282zbMATH Open1416.91391OpenAlexW2240034461MaRDI QIDQ4685641FDOQ4685641

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

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zbMATH Keywords

credit supply shocksGDP growthvector autoregression models

Mathematics Subject Classification ID

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

Cited In (4)

• Proxy SVAR identification of monetary policy shocks -- Monte Carlo evidence and insights for the US
• SVARs Identification Through Bounds on the Forecast Error Variance
• Macroeconomic effects of sectoral shocks in Germany, the U.K. and the U.S.: A VAR-GARCH-M approach
• Corporate earnings announcements and economic activity

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