Unconventional monetary policies and credit co-movement in the Eurozone

In response to the Global Financial Crisis, central banks deployed unconventional monetary policy tools as a remedy restore financial intermediation. While literature on transmission channels of such policies is still in its fancy, present paper an attempt uncover effects ECB measures credit co-movements Eurozone. first step, common factors underlying private aggregates are extracted for twelve Euro-area economies over period 2008–2021. Our analysis reveals that explain large shares variability national series. second we exploit standard BVARs identified factor and variables, specified total assets, excess liquidity, shadow rate, controls. The empirical results show responses shocks always significant expected sign, with corporate co-movement being more sensitive than household credit.