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Do Credit Shocks Matter? A Global Perspective

Author/Editor: Helbling, Thomas | Huidrom, Raju | Kose, M. Ayhan | Otrok, Christopher
Authorized for Distribution: November 1, 2010
Electronic Access: Free Full Text (PDF file size is 1,009KB)
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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.

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.
 
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Series: Working Paper No. 10/261
Subject(s): Business cycles | Capital markets | Credit | Cross country analysis | Economic models | Economic recession | External shocks | Group of seven | Time series | United States
Author's keyword(s): Business cycles | credit spreads | macroeconomic fluctuations | global recession.
 
English  
    Published:   November 1, 2010        
            Format:   Paper
    Stock No:   WPIEA2010261   Pages:   37
    Price:   US$18.00 (Academic Rate: US$18.00 )
       
     
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