Credit and economic activity: Credit regimes and nonlinear propagation of shocks

被引:154
作者
Balke, NS [1 ]
机构
[1] So Methodist Univ, Dallas, TX 75275 USA
[2] Fed Reserve Bank, Dallas, TX USA
关键词
D O I
10.1162/rest.2000.82.2.344
中图分类号
F [经济];
学科分类号
02 ;
摘要
In this paper, we examine empirically whether credit plays a role as a nonlinear propagator of shocks. This propagation takes the form of a threshold vector autoregression in which a regime change occurs if credit conditions cross a critical threshold. Using nonlinear impulse-response functions, we evaluate the dynamics implied by the threshold model. These suggest that shocks have a larger effect on output in the "tight" credit regime than is normally the case, and that contractionary monetary shocks typically have a larger effect than expansionary shocks. Finally, using a nonlinear version of historical decompositions, we attempt to determine the relative contribution to output growth of shocks and the nonlinear structure.
引用
收藏
页码:344 / 349
页数:6
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