Output and inflation responses to credit shocks: Are there threshold effects in the euro area?

Studies in Nonlinear Dynamics and Econometrics

Volumn 10, Issue 2, 2006, Pages 85-105

  Calza, Alessandro ^a   Sousa, João ^b  

^a EUROPEAN CENTRAL BANK   (Germany)

^b BANCO DE PORTUGAL   (Portugal)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 33646744360     PISSN: 15583708     EISSN: None     Source Type: Journal    
DOI: 10.2202/1558-3708.1253     Document Type: Review

References (38)

1. Angeloni, I., Kashyap, A., Mojon, B. and Terlizzese, D. (2003a) 'Monetary transmission in the euro area: Where do we stand?'. In Angeloni, I., Kashyap, A. and Mojon, B. (eds.) Monetary transmission in the euro area. Cambridge: Cambridge University Press, pp. 383-412.
2. _, _, _ and _ (2003b) 'The output composition puzzle: A difference in the monetary transmission mechanism in the euro area and U.S.'. Journal of Money, Credit and Banking, Vol. 35, No. 6, Part 2, pp. 1265-1306.
3. Artis, M., Galvão, A. and Marcellino, M. (2003) 'The transmission mechanism in a changing world'. CEPR Discussion Paper No. 4014.
4. Atanasova, C. (2003) 'Credit market imperfections and business cycle dynamics: A non-linear approach'. Studies in Nonlinear Dynamics and Econometrics, Vol. 7, No. 4, pp. 516-536.
5. Azariadis, C. and Smith, B. (1998) 'Financial intermediaries and regime switching in business cycles'. American Economic Review, Vol. 88, No. 3, pp. 516-536.
6. Balke, N.S. (2000) 'Credit and economic activity: credit regimes and nonlinear propagation of shocks'. Review of Economics and Statistics, Vol. 82, No. 2, pp. 344-349.
7. Barnett, W.A., Jones, B.E. and Nesmith, T.D. (2000) 'Time series cointegration tests and non-linearity'. In Barnett, W.A., Hendry, D.F., Hylleberg, S., Teräsvirta, T., Tjøstheim, D. and Würtz, A. (eds.), Nonlinear Econometric Modelling in Time Series Analysis. Cambridge: Cambridge University Press, pp. 9-30.
8. Bernanke, B. (1993) 'Credit in the Macroeconomy'. Federal Reserve Bank of New York Quarterly Review, Vol. 18, No. 1, pp. 50-70.
9. Bernanke, B. and Gertler, M. (1989) 'Agency costs, net worth and business fluctuations'. American Economic Review, Vol. 79, No. 1, pp. 14-31.
10. Beyer, A., Doornik, J.A. and Hendry, D.F. (2001) 'Constructing historical eurozone data'. The Economic Journal, Vol. 111, No. 469, pp. 102-121.
11. Bierens, H.J. (1997) 'Nonparametric cointegration analysis'. Journal of Econometrics, Vol. 77, No. 2, pp. 379-404.
12. Blinder, A.S. (1987) 'Credit rationing and effective supply failures'. The Economic Journal, Vol. 97, No. 386, pp. 327-352.
13. De Bondt, G.J. (2000) Financial Structure and Monetary Transmission in Europe. A Cross-country Study. Cheltenham: Edward Elgar.
14. Calza, A., Manrique, M. and Sousa, J. (2003) 'Aggregate loans to the euro area private sector'. ECB Working Paper No. 202, forthcoming in Quarterly Review of Economics and Finance.
15. Cecchetti, S.G. (1995) 'Distinguishing theories of the monetary transmission mechanism'. Federal Reserve Bank of St. Louis Review, Vol. 77, No. 3, pp.83-97.
16. Chatelain, J.B., Generale, A., Hernando, I., Vermeulen, P. and v. Kalckreuth, U. (2003) 'Firm investment and monetary policy transmission in the euro area'. In Angeloni, I., Kashyap, A. and Mojon, B. (eds.) Monetary transmission in the euro area. Cambridge: Cambridge University Press, pp. 133-161.
17. Coakley, J. and Fuentes, A.M. (2001) 'Nonparametric cointegration analysis'. Applied Financial Economics, Vol. 11, pp. 1-8.
18. Ehrmann, M., Gambacorta, L., Martínez-Pagés, J., Sevestre, P. and Worms, A. (2003) 'Financial systems and the role of banks in monetary policy transmission in the euro area'. In Angeloni, I., Kashyap, A. and Mojon, B. (eds.) Monetary transmission in the euro area. Cambridge: Cambridge University Press, pp. 235-269.
19. Friedman, M. and Schwartz, A.J. (1963) A Monetary History of the United States, 1867-1960. Princeton, NJ: Princeton University Press.
20. Galbraith J.W. (1996) 'Credit rationing and threshold effects in the relation between money and output'. Journal of Applied Econometrics, Vol. 11, No. 4, pp. 416-429.
21. Gallant, A.R., Rossi, P.E. and Tauchen, G. (1993) 'Nonlinear dynamic structures'. Econometrica, Vol. 61, No.4, pp. 871-908.
22. Gertler, M. (1988) 'Financial structure and aggregate economic activity: an overview'. Journal of Money, Credit and Banking, Vol. 20, No. 3, pp. 559-596.
23. Hansen, B.E. (1996) 'Inference when a nuisance parameter is not identified under the null hypothesis'. Econometrica, Vol. 64, No. 2, pp. 413-430.
24. _ (1999) 'Testing for linearity'. Journal of Economic Surveys, Vol. 13, No. 5, pp. 551-576.
25. Kiyotaki, N. and Moore, J. (1997) 'Credit cycles'. Journal of Political Economy, Vol. 105, No. 2, pp. 211-248.
26. Koop, G. (1996) 'Parameter uncertainty and impulse response analysis'. Journal of Econometrics, Vol. 72, No. 1-2, pp. 135-149.
27. Koop, G., Pesaran, M.H. and Potter, S. (1996) 'Impulse response analysis in nonlinear multivariate models'. Journal of Econometrics, Vol. 74, No. 1, pp. 119-148.
28. Lown C.S. and Morgan, D.P. (2002) 'Credit effects in the monetary mechanism'. FRBNY Economic Policy Review, Vol. 8, No. 1, pp. 217-241.
29. McCallum, J. (1991) 'Credit rationing and the monetary transmission mechanism'. American Economic Review, Vol. 81, No. 4, pp. 946-951.
30. Potter, S. (2000) 'Nonlinear Impulse Response Functions'. Journal of Economic Dynamics and Control, Vol. 24, No. 10, pp. 1425-1446.
31. Proietti, T., Musso, A. and Westermann, T. (2002) 'Estimating potential output and output gap for the euro area: a model-based production function approach'. EUI Working Paper ECO/9/2002.
32. Rothman, P., van Dijk, D. and Franses, P.H. (2001) 'Multivariate STAR analysis of the money-output relationship'. Macroeconomic Dynamics, Vol. 5, No. 4, pp. 506-532.
33. Sims, C.A. (1980) 'Macroeconomics and reality'. Econometrica, Vol. 61, No.4, pp. 871-908.
34. Stock, J.H. and Watson, M.W. (2001) 'Vector Autoregressions'. Journal of Economic Surveys, Vol. 15, No. 4, pp. 101-115.
35. Trautwein, H.-M. (2000) 'The credit view, old and new'. Journal of Economic Surveys, Vol. 14, No. 2, pp. 155-189.
36. Vilasuso, J. (2000) 'Trend breaks in money growth and the money-output relation in the US'. Oxford Bulletin of Economics and Statistics, Vol. 62, No. 1, pp. 53-60.
37. Walsh, C.E. (1998) Monetary Theory and Policy. Cambridge, MA and London: The MIT Press.
38. Walsh, C.E. and Wilcox, J.A. (1995) 'Bank credit and economic activity'. In Peek J. and Rosengren, E.S. (eds.) Is bank lending important for the transmission of monetary policy?, Federal Conference Series No. 39. Boston: Federal Reserve Bank of Boston, pp. 83-112.