The importance of credit demand for business cycle dynamics / Gregor von Schweinitz ; editor: Halle Institute for Economic Research (IWH) - Member of the Leibniz Association
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Discovery
1876904089
URN
urn:nbn:de:gbv:3:2-1025147
DOI
ISBN
ISSN
Autorin / Autor
Beiträger
Körperschaft
Erschienen
Halle (Saale), Germany : Halle Institute for Economic Research (IWH) - Member of the Leibniz Association, December 2023
Umfang
1 Online-Ressource (III, 64 Seiten, 1,94 MB) : Diagramme
Ausgabevermerk
This version: November 6, 2023
Sprache
eng
Anmerkungen
Literaturverzeichnis: Seite 32-38
Inhaltliche Zusammenfassung
This paper contributes to a better understanding of the important role that credit demand plays for credit markets and aggregate macroeconomic developments as both a source and transmitter of economic shocks. I am the first to identify a structural credit demand equation together with credit supply, aggregate supply, demand and monetary policy in a Bayesian structural VAR. The model combines informative priors on structural coefficients and multiple external instruments to achieve identification. In order to improve identification of the credit demand shocks, I construct a new granular instrument from regional mortgage origination. I find that credit demand is quite elastic with respect to contemporaneous macro-economic conditions, while credit supply is relatively inelastic. I show that credit supply and demand shocks matter for aggregate fluctuations, albeit at different times: credit demand shocks mostly drove the boom prior to the financial crisis, while credit supply shocks were responsible during and after the crisis itself. In an out-of-sample exercise, I find that the Covid pandemic induced a large expansion of credit demand in 2020Q2, which pushed the US economy towards a sustained recovery and helped to avoid a stagflationary scenario in 2022.
Schriftenreihe
IWH-Diskussionspapiere ; 2023, no. 21 (December 2023) ppn:837399270