Do Credit Shocks Matter? A Global Perspective
November 1, 2010
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Summary
This paper examines the importance of credit market shocks in driving global business cycles over the period 1988:1-2009:4. We first estimate common components in various macroeconomic and financial variables of the G-7 countries. We then evaluate the role played by credit market shocks using a series of VAR models. Our findings suggest that these shocks have been influential in driving global activity during the latest global recession. Credit shocks originating in the United States also have a significant impact on the evolution of world growth during global recessions.
Subject: Business cycles, Credit, Inflation, Productivity, Vector autoregression
Keywords: business cycle, credit market, credit shock, productivity shock, WP
Pages:
37
Volume:
2010
DOI:
Issue:
261
Series:
Working Paper No. 2010/261
Stock No:
WPIEA2010261
ISBN:
9781455209613
ISSN:
1018-5941
