Do Credit Shocks Matter? A Global Perspective [electronic resource] / Thomas Helbling.
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TextSeries: IMF Working Papers; Working Paper ; No. 10/261Publication details: Washington, D.C. : International Monetary Fund, 2010Description: 1 online resource (37 p.)ISBN: 1455209619 :ISSN: 1018-5941Subject(s): Credit Spreads | Financial Aspects of Economic Integration | Financial Markets and the Macroeconomy | Financial Markets | Global Recession | Global Recessions | Canada | Germany | Italy | United Kingdom | United StatesAdditional physical formats: Print Version:: Do Credit Shocks Matter? A Global PerspectiveOnline resources: IMF e-Library | IMF Book Store Abstract: 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.
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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