Secured and Unsecured Credit Cycles: a nonlinear analysis
| Componente | Categoria |
|---|---|
| Massimiliano Tancioni | Aggiungi Tutor di riferimento (Professore o Ricercatore afferente allo stesso Dipartimento del Proponente) |
This project aims to study, from an empirical perspective, the time-evolving dynamics of credit market fragilities. The investigation will focus on private borrowing dynamics over the cycle, disentangling between secured and unsecured credit contracts. The empirical analysis will possibly be carried out employing estimated Bayesian time-varying parameters structural vector autoregression models. These models will be structuralized with mixed point/set restrictions, able to separately identify demand, supply, monetary and financial shocks. On this basis, the possibly nonlinear effects of the different sources of variability will highlight both the emerging smooth nonlinearities characterizing slow-building credit cycles and episodes of major structural changes observed in financial time series.