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Kristina Barauskaitė Griškevičienė
- 10 March 2026
- WORKING PAPER SERIES - No. 3201Details
- Abstract
- We analyze the sources of the pandemic-era inflation surge in the euro area using a Bayesian vector autoregression (BVAR) model. By applying narrative, sign, zero, and inequality restrictions,this study is the first that jointly analyzes the inflationary effects of energy and non-energy supply and policy and non-policy demand factors, including fiscal policy, conventional and unconventional monetary policy. Factoring in that energy price dynamics also responded to aggregate demand conditions, we find that the pandemic-era inflation surge in the euro area was driven by a combination of supply and demand factors. Energy-related supply side constraints, even if less important than often estimated, were a key factor in the run up of inflation. Fiscal and monetary policies were accommodative but not the dominant drivers.
- JEL Code
- C11 : Mathematical and Quantitative Methods→Econometric and Statistical Methods and Methodology: General→Bayesian Analysis: General
C32 : Mathematical and Quantitative Methods→Multiple or Simultaneous Equation Models, Multiple Variables→Time-Series Models, Dynamic Quantile Regressions, Dynamic Treatment Effect Models, Diffusion Processes
E31 : Macroeconomics and Monetary Economics→Prices, Business Fluctuations, and Cycles→Price Level, Inflation, Deflation
E52 : Macroeconomics and Monetary Economics→Monetary Policy, Central Banking, and the Supply of Money and Credit→Monetary Policy
- 30 June 2022
- WORKING PAPER SERIES - No. 2673Details
- Abstract
- Using a novel quarterly dataset on debt financing of non-financial corporations, this paper provides the first empirical evaluation of the relative importance of loan and market-based finance (MBF) supply shocks on business cycles in the euro area as a whole and in its five largest countries. In a Bayesian VAR framework, the two credit supply shocks are identified via sign and inequality restrictions. The results suggest that both loan supply and MBF supply play an important role for business cycles. For the euro area, the explanatory power of the two credit supply shocks for GDP growth variations is comparable. However, there is heterogeneity across countries. In particular, in Germany and France, the explanatory power of MBF supply shocks exceeds that of loan supply shocks. Since MBF is mostly provided by non-bank financial intermediaries, the findings suggest that strengthening their resilience — such as through an enhanced macroprudential framework — would support GDP growth.
- JEL Code
- C32 : Mathematical and Quantitative Methods→Multiple or Simultaneous Equation Models, Multiple Variables→Time-Series Models, Dynamic Quantile Regressions, Dynamic Treatment Effect Models, Diffusion Processes
E32 : Macroeconomics and Monetary Economics→Prices, Business Fluctuations, and Cycles→Business Fluctuations, Cycles
E44 : Macroeconomics and Monetary Economics→Money and Interest Rates→Financial Markets and the Macroeconomy
E51 : Macroeconomics and Monetary Economics→Monetary Policy, Central Banking, and the Supply of Money and Credit→Money Supply, Credit, Money Multipliers
G2 : Financial Economics→Financial Institutions and Services
- 17 November 2021
- FINANCIAL STABILITY REVIEW - BOXFinancial Stability Review Issue 2, 2021Details
- Abstract
- Using a Bayesian vector autoregression model and drawing from a novel quarterly dataset on debt financing of non-financial corporations, this box estimates the effects of loan and market-based credit supply shocks on GDP growth in the euro area and the five largest euro area countries. A novel identification scheme with inequality restrictions is developed to distinguish between the two types of credit supply shock. The results suggest that not only loan supply but also market-based credit supply shocks play an important role for GDP growth. For the euro area as a whole, the explanatory power of both types of credit supply shock is found to be similar, while in Germany and France the explanatory power of market-based credit supply shocks exceeds that of loan supply shocks. Since market-based credit is mostly provided by non-bank financial intermediaries, the findings also suggest that strengthening the resilience of these intermediaries – such as through an enhanced macroprudential framework – would support GDP growth.
- JEL Code
- C32 : Mathematical and Quantitative Methods→Multiple or Simultaneous Equation Models, Multiple Variables→Time-Series Models, Dynamic Quantile Regressions, Dynamic Treatment Effect Models, Diffusion Processes
E32 : Macroeconomics and Monetary Economics→Prices, Business Fluctuations, and Cycles→Business Fluctuations, Cycles
E44 : Macroeconomics and Monetary Economics→Money and Interest Rates→Financial Markets and the Macroeconomy
E51 : Macroeconomics and Monetary Economics→Monetary Policy, Central Banking, and the Supply of Money and Credit→Money Supply, Credit, Money Multipliers
G2 : Financial Economics→Financial Institutions and Services