Combining zero and sign restrictions in VAR-models: Identifying credit supply shocks in the Netherlands

I use the algorithm of Arias et al. (2014), combining sign and zero restrictions in a SVAR framework, in order to disentangle the role of credit supply shocks in the Netherlands. Unlike previous methods of combining sign and zero restrictions, this algorithm has been proven to draw from the correct posterior of the structural parameters. I nd that after a one standard deviation credit supply shock, M3 growth decreases immediately by about 1.50 percentage points while GDP growth slows down by approximately 0.60 percentage points over a period of more than two years. Whereas credit supply shocks impaired economic and lending activity around 2007/08 and 2010, those disturbances were not signicantly depressing GDP growth after the second half of 2011