Credit and Economic Activity: Credit Regimes and Nonlinear Propagation of Shocks

摘要: In this paper, we examine empirically whether credit plays a role as nonlinear propagator of shocks. This propagation takes the form threshold vector autoregression in which regime change occurs if conditions cross critical threshold. Using impulseresponse functions, evaluate dynamics implied by model. These suggest that shocks have larger effect on output ''tight'' than is normally case, and contractionary monetary typically expansionary Finally, using version historical decompositions, attempt to determine relative contribution growth structure.