Some Additional Evidence from the Credit Channel on the Response to Monetary Shocks: Looking for Asymmetries

Fabio Alessandrini

Cahiers de Recherches Economiques du Département d'économie from Université de Lausanne, Faculté des HEC, Département d’économie

Abstract: The credit channel of monetary policy has both cross-sectional and timeseries implications for the reaction of the economy to monetary shocks. This paper focuses on the more rarely investigated time-series aspect and shows that the economy has varying sensitivity to monetary shocks over time. By using a Threshold VAR model, we find that output and credit spreads react much stronger to monetary shocks when cash flows or dividends are low. This distinction in the regimes is in particular more significant than one based on the stage of the business cycle or on the stance of monetary policy. In this sense, the response to a tightening for instance cannot be considered as constant and traditional impulse-response functions have to be taken with some caution.

Keywords: credit channel; ThresholdVector Autoregression (TVAR); asymmetric responses (search for similar items in EconPapers)
JEL-codes: C32 E51 E52 (search for similar items in EconPapers)
Pages: 41 pages
Date: 2003-02
New Economics Papers: this item is included in nep-cba and nep-mac
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.hec.unil.ch/deep/textes/03.04.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:lau:crdeep:03.04

Access Statistics for this paper

More papers in Cahiers de Recherches Economiques du Département d'économie from Université de Lausanne, Faculté des HEC, Département d’économie Université de Lausanne, Faculté des HEC, Département d’économie, Internef, CH-1015 Lausanne. Contact information at EDIRC.
Bibliographic data for series maintained by Christina Seld ().