Arbeitspapier
Credit Shocks in the Financial Deregulatory Era: Not the Usual Suspects
The paper constructs credit shocks using data and the solution to a monetary business cycle model. The model extends the standard stochastic cash-in-advance economy by including the production of credit that serves as an alternative to money in exchange. Shocks to goods productivity, money, and credit productivity are constructed robustly using the solution to the model and quarterly US data on key variables. The contribution of the credit shock to US GDP movements is found, and this is interpreted in terms of changes in banking legislation during the US financial deregulation era. The results put forth the credit shock as a candidate shock that matters in determining GDP, including in the sense of Uhlig (2003).
- Sprache
-
Englisch
- Erschienen in
-
Series: Cardiff Economics Working Papers ; No. E2005/13
Klassifikation
Wirtschaft
Business Fluctuations; Cycles
Financial Markets and the Macroeconomy
Business Fluctuations; Cycles
Financial Markets and the Macroeconomy
Thema
Business cycle
credit shocks
financial deregulation
credit shocks
financial deregulation
Ereignis
Geistige Schöpfung
(wer)
Benk, Szilárd
Gillman, Max
Kejak, Michal
Gillman, Max
Kejak, Michal
Ereignis
Veröffentlichung
(wer)
Cardiff University, Cardiff Business School
(wo)
Cardiff
(wann)
2005
- Handle
- Letzte Aktualisierung
-
20.09.2024, 08:23 MESZ
Objekttyp
- Arbeitspapier
Beteiligte
- Benk, Szilárd
- Gillman, Max
- Kejak, Michal
- Cardiff University, Cardiff Business School
Entstanden
- 2005
Ähnliche Objekte (12)
A Comparison of Exchange Economies within a Monetary Business Cycle
Money velocity in an endogenous growth business cycle with credit shocks
A banking explanation of the US velocity of money: 1919 - 2004
Money velocity in an endogenous growth business cycle with credit shocks
Financial sector shocks, external finance premium and business cycle
US volatility cycles of output and inflation, 1919 - 2004: A money and banking approach to a puzzle
Is housing collateral important to the business cycle? Evidence from China parity
A Banking Explanation of the US Velocity of Money: 1919-2004
The Credit Spread and U.S. Business Cycles
China's financial crisis - the role of banks and monetary policy
Credit, financial conditions and the business cycle in China
US financial shocks and the distribution of income and consumption in the UK
A Comparison of Exchange Economies within a Monetary Business Cycle
Money velocity in an endogenous growth business cycle with credit shocks
A banking explanation of the US velocity of money: 1919 - 2004
Money velocity in an endogenous growth business cycle with credit shocks
Financial sector shocks, external finance premium and business cycle
US volatility cycles of output and inflation, 1919 - 2004: A money and banking approach to a puzzle
Is housing collateral important to the business cycle? Evidence from China parity
A Banking Explanation of the US Velocity of Money: 1919-2004
The Credit Spread and U.S. Business Cycles
China's financial crisis - the role of banks and monetary policy
Credit, financial conditions and the business cycle in China
US financial shocks and the distribution of income and consumption in the UK
A Comparison of Exchange Economies within a Monetary Business Cycle
Money velocity in an endogenous growth business cycle with credit shocks
A banking explanation of the US velocity of money: 1919 - 2004
Money velocity in an endogenous growth business cycle with credit shocks
Financial sector shocks, external finance premium and business cycle
US volatility cycles of output and inflation, 1919 - 2004: A money and banking approach to a puzzle
Is housing collateral important to the business cycle? Evidence from China parity
A Banking Explanation of the US Velocity of Money: 1919-2004
The Credit Spread and U.S. Business Cycles
China's financial crisis - the role of banks and monetary policy
Credit, financial conditions and the business cycle in China