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Author/Editor:
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Söderling, Ludvig
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Publication Date:
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March 01, 2008
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Electronic Access:
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Free Full text
(PDF file size is 403KB).
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Disclaimer: This Working Paper should not be reported as representing the views of the IMF.
The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate
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Summary:
This paper analyzes the determinants of credit cyclicality. It constructs a financial development index and studies whether it affects the amplitude of impulse responses to shocks to output, terms of trade, global liquidity, and global risk appetite. The paper uses both country-specific VARs for cross-country analyses and panel VARs to compare impulse responses between various country groupings. The study finds evidence that financial development-especially stronger creditor rights-can mitigate credit cyclicality, given that the response of credit to output or terms of trade shocks is stronger in countries with weaker financial systems.
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Order a print copy
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Series:
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Working Paper No. 08/55
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Subject(s):
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Credit | Chile | Liquidity | Terms of trade | Private sector
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Author's Keyword(s):
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Credit growth | business cycle | panel VAR |
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English
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Publication Date:
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March 01, 2008
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Format:
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Paper
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Stock No:
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WPIEA2008055
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Pages:
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21
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Price:
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US$18.00 )
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Please address any questions about this title to
publications@imf.org
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