Do credit shocks matter? A global perspective

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 seri...

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Bibliographic Details
Published in:	European economic review Vol. 55; no. 3; pp. 340 - 353
Main Authors:	Helbling, Thomas, Huidrom, Raju, Kose, M. Ayhan, Otrok, Christopher
Format:	Journal Article
Language:	English
Published:	Amsterdam Elsevier B.V 01-04-2011 Elsevier Elsevier Sequoia S.A
Series:	European Economic Review
Subjects:	Access to credit Business cycles Credit market Credit Shocks Credit Shocks VAR Sign Restrictions Economic crisis Economic models Economic shock Financial crisis Industrialized nations International capital market Recession Recessions Regression analysis Sign Restrictions Studies VAR Vector-autoregressive models F36 F41 Credit Shocks E32 VAR Sign Restrictions
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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.
Bibliography:	ObjectType-Article-2 SourceType-Scholarly Journals-1 ObjectType-Feature-1 content type line 23
ISSN:	0014-2921 1873-572X
DOI:	10.1016/j.euroecorev.2010.12.009