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标题：Output and inflation responses to credit shocks: are there threshold effects in the euro area?
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作者：Alessandro Calza ; João Sousa
期刊名称：Euro Area Balance of Payments and International Investment Position Statistics
印刷版ISSN：1830-3420
电子版ISSN：1830-3439
出版年度：2005
出版社：European Central Bank
摘要：This paper investigates whether output and inflation respond asymmetrically to credit shocks in the euro area. The methodology, based on a non-linear VAR system, follows work by Balke (2000) for the US. The results reveal evidence of threshold effects related to credit conditions in the economy. Consistent with this finding, the impulse responses show 4 ECB Working Paper Series No. 481 April 2005 some signs of asymmetric responses over the lending cycle.
关键词：credit; euro area; asymmetric shocks; non-linearities