Do Credit Shocks Matter? A Global Perspective
Electronic Access:
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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.
Series:
Working Paper No. 2010/261
Subject:
Business cycles Credit Inflation Productivity Vector autoregression
Frequency:
Quarterly
English
Publication Date:
November 1, 2010
ISBN/ISSN:
9781455209613/1018-5941
Stock No:
WPIEA2010261
Pages:
37
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