Do Credit Shocks Matter? A Global Perspective

By Thomas Helbling, Ayhan Kose, Christopher Otrok, Raju Huidrom

November 1, 2010

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Format: Chicago

Thomas Helbling, Ayhan Kose, Christopher Otrok, and Raju Huidrom. Do Credit Shocks Matter? A Global Perspective, (USA: International Monetary Fund, 2010) accessed September 18, 2024

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

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

Publication Details

Pages:

37
Volume:

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DOI:

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Issue:

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Series:

Working Paper No. 2010/261
Stock No:

WPIEA2010261
ISBN:

9781455209613
ISSN:

1018-5941

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