Does the credit supply shock have asymmetric effects on macroeconomic variables?

2020 ◽  
Vol 188 ◽  
pp. 108958
Author(s):  
Valentina Colombo ◽  
Alessia Paccagnini
Keyword(s):  
Macroeconomic Variables ◽  
Asymmetric Effects ◽  
Credit Supply ◽  
Supply Shock

scholarly journals THE ASYMMETRIC EFFECTS OF UNCERTAINTY ON MACROECONOMIC ACTIVITY

2016 ◽  
Vol 20 (5) ◽  
pp. 1219-1246 ◽  
Author(s):  
Paul M. Jones ◽  
Walter Enders
Keyword(s):  
Financial Crisis ◽  
Linear Model ◽  
Smooth Transition ◽  
Macroeconomic Variables ◽  
Asymmetric Effects ◽  
State Of The Economy ◽  
Recent Financial Crisis ◽  
Positive Shock ◽  
Smooth Transition Autoregressive ◽  
Negative Shock

We estimate a number of macroeconomic variables as logistic smooth transition autoregressive (LSTAR) processes with uncertainty as the transition variable. The notion is that the effects of increases in uncertainty should not be symmetrical with the effects of decreases in uncertainty. Nonlinear estimation allows us to answer several interesting questions left unanswered by a linear model. For a number of important macroeconomic variables, we show that (i) a positive shock to uncertainty has a greater effect than a negative shock and (ii) the effect of the uncertainty shock is highly dependent on the state of the economy. Hence, the usual linear estimates for the consequences of uncertainty are underestimated in circumstances such as the recent financial crisis.

The Anatomy of a Credit Supply Shock: Evidence from an Internal Credit Market

2018 ◽  
Vol 53 (2) ◽  
pp. 547-579 ◽  
Author(s):  
José María Liberti ◽  
Jason Sturgess
Keyword(s):  
Credit Rationing ◽  
Financing Constraints ◽  
Lending Relationships ◽  
Lending Channel ◽  
Credit Supply ◽  
Supply Shock ◽  
Level Data ◽  
Channel Effects ◽  
Post Shock ◽  
Micro Level

We investigate how financial contracting interacts with lending-channel effects by tracing the anatomy of a credit supply shock using micro-level data from a multinational bank. Borrowers with stronger lending relationships, higher nonlending revenues, and those that pledge collateral, especially outside assets and real estate, experience less credit rationing. Consistent with a tightening of financing constraints post shock, borrower composition shifts toward larger and less risky firms, and loans exhibit higher collateralization rates. Our analysis highlights the value of relationships and suggests that relationship banking is a channel through which borrowers can mitigate lending-channel effects.

Making Room for the Needy: The Credit-Reallocation Effects of the ECB’s Corporate QE*

2020 ◽  
Author(s):  
Óscar Arce ◽  
Sergio Mayordomo ◽  
Ricardo Gimeno
Keyword(s):  
Corporate Bonds ◽  
Bank Loans ◽  
Corporate Sector ◽  
The Real ◽  
Credit Supply ◽  
Supply Shock ◽  
Bond Issuers ◽  
The Needy ◽  
Real Investment

Abstract We analyze how the ECB’s purchases of corporate bonds under its Corporate Sector Purchase Programme (CSPP) affected the financing of Spanish firms. We first document that the announcement of the CSPP in March 2016 raised firms’ propensity to issue bonds. The flipside was a drop in the demand for bank loans by bond issuers. Around 75% of the drop in loans previously made to debt issuers was redirected to other, smaller nonbond issuing firms. This reallocation process was led by banks with weaker liquidity positions experiencing credit outflows, which extended credit to the same firms they were rationing prior to the CSPP. This positive credit supply shock raised the real investment of nonissuing firms. The concomitant ECB’s Targeted Longer-Term Refinancing Operations (TLTRO-II) is estimated to have contributed to amplifying the credit-reallocation effect triggered by the CSPP.

scholarly journals PREDICTING NPLs FOR CROATIA WITH MACROECONOMIC VARIABLES

2021 ◽  
Vol 30 (2) ◽  
pp. 571-586
Author(s):  
Mile Bošnjak ◽  
◽  
Jurica Vukas ◽  
Ivan Šverko
Keyword(s):  
Unemployment Rate ◽  
Index Construction ◽  
Macroeconomic Variables ◽  
Unemployment Rates ◽  
Quarterly Data ◽  
Production Index ◽  
Asymmetric Effects ◽  
Nonperforming Loans ◽  
Regression Approach ◽  
Construction Works

This paper aims to examine some of the macroeconomic drivers of nonperforming loans (NPL) in Croatia. Unemployment rate, industrial production index, construction works volume and the number of tourist arrivals were evaluated as the drivers on a quarterly data sample from 2008q4 to 2020q4. Following quantile regression approach, unemployment rates and construction works volume appeared as significant drivers of NPL in Croatia. Furthermore, empirical findings from this paper suggest asymmetric effects on NPL from its drivers. While decrease in construction works volume and increase in unemployment rates were found to correspond with increase in NPL, an increase in construction works volume and decrease in unemployment rates were not correlated with decrease in NPL. Consequently, the paper brings implications for credit institutions in Croatia within the context of COVID-19 pandemic crises.

Asymmetric impact of oil price shocks on selected macroeconomic variables: NARDL exposition

2020 ◽  
pp. 171-189
Author(s):  
Omoke Philip Chimobi ◽  
Uche Emmanuel
Keyword(s):  
Time Series ◽  
Time Series Data ◽  
Oil Prices ◽  
Oil Price ◽  
Series Data ◽  
Oil Price Shocks ◽  
Price Shocks ◽  
Macroeconomic Variables ◽  
Asymmetric Effects ◽  
Asymmetric Impact

The preoccupation of this study is to give empirical explanations to the existing relationship between oil price dynamics and some selected macroeconomic variables in Nigeria. Specifical-ly, it seeks to identify if the impacts of the changing oil prices on output, investment and un-employment is symmetric or asymmetric. Monthly time series data used in the research was subjected to a nonlinear analysis through the newly developed NARDL. To that effect, our findings reveal that changes in oil prices has asymmetric effects on the chosen macroeconomic variables. Our findings call for different policy formulations for up and down swings in oil prices

Determining the asymmetric effects of oil price changes on macroeconomic variables: a case study of Turkey

Empirica ◽  
2014 ◽  
Vol 42 (4) ◽  
pp. 737-746 ◽  
Author(s):  
Yeliz Yalcin ◽  
Cengiz Arikan ◽  
Furkan Emirmahmutoglu
Keyword(s):  
Oil Price ◽  
Price Changes ◽  
Macroeconomic Variables ◽  
Asymmetric Effects
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