This article examines whether credit markets serve as a primary transmission channel through which monetary and macroprudential policies impose their effects on unemployment across the European Union member states. This study has been conducted based on balanced quarterly panel data spanning 2000Q1 to 2025Q4 (2808 observations) and employed two-way fixed effects estimation accompanied by causal fixed mediation analysis using average causal mediation effects (ACME) and average direct effect (ADE) decomposition, shock amplification interaction models, and credit boom threshold specifications. The central finding is that the credit market does not function as the primary transmission channel for monetary and macroprudential policy impacts on unemployment; rather, it operates through direct-balance sheet stress, insolvency cascades, as well as the confidence of investors and consumers. Further, this result has significant impacts on the design of the financial stability frameworks and allocation of the macroprudential instruments across the EU policy architectures.