Loan Supply Shocks and the Business Cycle
估计了1980-2011年欧元区、英国和美国的时变参数向量自回归模型，发现贷款供给冲击对经济周期有显著影响，且近年来影响增强，在经济衰退时期尤其重要。
This paper provides empirical evidence on the role played by loan supply shocks over the business cycle in the euro area, the UK and the USA from 1980 to 2011 by estimating time-varying parameter vector autoregression models with stochastic volatility and identifying these shocks with sign restrictions consistent with the recent macroeconomic literature. The evidence suggests that in all three economic areas loan supply shocks appear to have a significant effect, with clear signs of an increasing impact over the past few years. Moreover, the role of loan supply shocks is estimated to be particularly important during recessions.