Unconventional monetary policies and credit co-movement in the Eurozone

We extract the common factors underlying the credit aggregates of twelve Euro-area economies. We find that such factors explain large shares of the variability of credit series. We exploit standard monetary BVARs of the identified factor and ECB policy variables, specified as total assets, excess liquidity, shadow rate, and controls. Empirical results show that the responses of the factors to policy shocks are always significant and of the expected sign, with corporate credit co-movement being more sensitive to policy than household credit.