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

Financial cycle, business cycle, and policy uncertainty in India: An empirical investigation

“…Studies of Meeks (2012), Duchi and Elbourne (2016), and Hristov et al. (2012) corroborate our findings. On the other hand, in long run, the uncertainty index can be comprehended as a strong predictor of the financial as well as business cycle in India.…”

The Interest Rate Pass-Through in the Euro Area During the Global Financial Crisis

“…The final column, which simply sums up the contribution of all identified shocks to the variation of the endogenous variables, shows that the role of additional (unidentified) shocks seems to have increased during the crisis. This confirms our previous work in which we focussed on the role of loan supply shocks during the financial crisis (Hristov et al, 2012). We found that these shocks, which were identified by an increase in the spread between the money market rate and the loan rate, significantly contributed to the evolution of macroeconomic variables in all Euro Area member countries.…”

“…Loan supply shocks are found to have played an important role during the global financial crisis (see e.g. Helbling et al, 2011;Hristov et al, 2012). Finally, the 1 In the Euro area retail rates play an important role in the transmission of monetary policy, since borrowing and lending take place predominantly through the intermediation of the banking sector, contrary to some major economies where securities markets are the main funding source of the real sector.…”

“…Mote Carlo simulations by Rebucci (2010) show in fact that the efficiency of the mean-group estimator is very limited in short samples. 6 Therefore, we follow Born et al (2012), Hristov et al (2012) and Tillmann (2012) and adopt the fixed effect estimator.…”

Drawing conclusions from structural vector autoregressions identified on the basis of sign restrictions

“…and Robstad (2017), Fujita (2011), Gambacorta, Hofmann and Peersman (2014), Gambetti and Musso (2017), Georgiadis (2015), Glocker and Towbin (2015), Güntner (2014), Gupta and Modise (2013), Huber and Punzi (2017), Hristov, Hülsewig and Wollmershäuser (2012), Hofmann, Peersman and Straub (2012), Jääskelä and Jennings (2011), Jarociński (2010), Juvenal (2011), Juvenal and Petrella (2014), Kapetanios et al (2012), Murphy (2012, 2014), Kilian and Zhou (2019), Kim, Moon and Velasco (2017), Lippi and Nobili (2012), Liu et al (2016), Liu et al (2019), Liu, Mumtaz and Theophilopoulou (2014), Luciani (2015), Meeks (2012), Michaelis and Watzka (2017), Mönch (2012), Mountford (2005), Mountford and Uhlig (2009), Mumtaz and Sunder-Plassmann (2013), Mumtaz and Zanetti (2012), Pappa (2009), Peersman (2005), Peersman and Straub (2009), Riggi and Venditti (2015), Rubio-Ramírez, Waggoner and Zha (2010), Sá, Towbin and Wieladek (2014), Sá and Wieladek (2015), Schenkelberg and Watzka (2013), Sch...…”