Loan Supply Shocks During the Financial Crisis: Evidence for the Euro Area

By Nikolay Hristov, Oliver Hülsewig, T. Wollmershaeuser. Social Science Research Network, 2012

187 citations recorded by the source corpus.

This paper employs a panel vector autoregressive model for the member countries of the Euro Area to explore the role of banks during the slump of the real economy that followed the financial crisis. In particular, we seek to quantify the macroeconomic effects of adverse loan supply shocks, which are identified using sign restrictions. We find that loan supply shocks significantly contributed to the evolution of the loan volume and real GDP growth in all member countries during the financial crisis. However, concerning both, the timing and the magnitude of the shocks our results also indicate that the Euro Area was characterized by a considerable degree of cross-country heterogeneity.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/ea09549b1a33929fe327266cb416645e5f43e9a8

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. A. Musso
2. Luca Gambetti
3. Mikkel Plagborg-Møller
4. Regis Barnichon

In Finance

1. A. Musso
2. Luca Gambetti

Citations in the corpus

• Loan Supply Shocks and the Business Cycle (2017, methodology): “Hristov et al. (2012) estimate a panel VAR with data for eleven euro area countries and try to identify the effect of loan supply shocks over the period 2003Q1 to 2010Q2.”
• Identification of Financial Factors in Economic Fluctuations (2019, unknown): “…as in our model, especially 1A partial list includes Gilchrist and Zakrajsek (2012) and Meeks (2012) for VAR analysis with exclusion restrictions, Hristov et al. (2012), Peersman (2012) and Peersman and Wagner (2015) for VAR analysis with sign restrictions, Amir Ahmadi (2009) and Gambetti and…”