European Parliament Library

Do Credit Shocks Matter? A Global Perspective, Thomas Helbling, Ayhan Kose, Christopher Otrok, Raju Huidrom

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
Table Of Contents
Contents; I. Introduction; II. Credit Markets and the Business Cycle: A Brief Survey; III. Database and Methodology; IV. Credit Shocks and Global Business Cycles; V. The Global Transmission of U.S. Credit Shocks; VI. Conclusion; References; Figures; 1a G-7 Common Factors; 1b. US Specific Credit Market Variables; 2. Impulse Responses due to a Credit Shock: VAR with Global Factors; 3. Dynamics of Global GDP: Credit Shocks; 4. Impulse Responses due to a Credit Shock: US FAVAR; 5a. Dynamics of US GDP: Credit Shock; 5b. Cumulative Growth Gap of US GDP; 6a. Dynamics of Global GDP: Credit Shock
Literary Form
non fiction
"November 2010."
Physical Description
1 online resource (39 p.)
Specific Material Designation
Form Of Item

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