Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/234724 
Erscheinungsjahr: 
2020
Schriftenreihe/Nr.: 
MAGKS Joint Discussion Paper Series in Economics No. 26-2020
Verlag: 
Philipps-University Marburg, School of Business and Economics, Marburg
Zusammenfassung: 
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.
Schlagwörter: 
credit supply shocks
household debt
asymmetry
local projections
JEL: 
C11
E21
E22
E32
Dokumentart: 
Working Paper

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