Arbeitspapier
Credit, asset prices and business cycles at the global level
This paper assesses the role of financial variables in real economic fluctuations, in view of analysing the link between financial cycles and business cycles at the global level. A Global VAR modelling approach is used to first assess the contribution of credit and asset price variables to real economic activity in a number of countries and regions. The GVAR model is based on 38 countries estimated over 1987-2013. An analysis on a sample excluding the post-financial crisis period is also provided to check whether financial variables have gained importance in explaining business cycle fluctuations over the recent past. In a second step, financial shocks are identified through sign restrictions in order to illustrate how financial and business cycles could be related. Overall, the paper shows that the importance of credit and asset price variables in explaining real economic fluctuations is relatively large, but has not significantly increased since the global financial crisis. The international transmission of financial shocks on business cycle fluctuations also tends to be large and persistent.
- ISBN
-
978-92-899-2031-5
- Sprache
-
Englisch
- Erschienen in
-
Series: ECB Working Paper ; No. 1895
- Klassifikation
-
Wirtschaft
Business Fluctuations; Cycles
Prices, Business Fluctuations, and Cycles: Forecasting and Simulation: Models and Applications
Financial Markets and the Macroeconomy
Money Supply; Credit; Money Multipliers
Macroeconomic Aspects of International Trade and Finance: Forecasting and Simulation: Models and Applications
- Thema
-
business cycle
financial cycle
GVAR model
international transmission of shocks
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Dées, Stéphane
- Ereignis
-
Veröffentlichung
- (wer)
-
European Central Bank (ECB)
- (wo)
-
Frankfurt a. M.
- (wann)
-
2016
- DOI
-
doi:10.2866/835986
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Dées, Stéphane
- European Central Bank (ECB)
Entstanden
- 2016
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