Credit Shocks and Macroeconomic Fluctuations in Emerging Markets

Arbeitspapier

In this paper, we examine the role of global and domestic credit supply shocks in macroeconomic fluctuations for Emerging Markets. For this purpose, we impose a set of zero and sign restrictions within a medium-scale Bayesian Vector Auto-Regressive model. Quarterly data from South Africa and G-7 countries in 1985-2010 show that credit supply shocks impact significantly on macroeconomic aggregates in these economies. However, credit supply shocks have played, on average, a less important role than credit demand shocks. Moreover, shocks originating from G7-countries are the main drivers of real activity in South Africa, although they played a marginal role in the 1996-1999 South African recession.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: CESifo Working Paper ; No. 4281

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Model Construction and Estimation ; Multiple or Simultaneous Equation Models: Panel Data Models; Spatio-temporal Models ; Statistical Simulation Methods: General ; Forecasting Models; Simulation Methods ; Prices, Business Fluctuations, and Cycles: General (includes Measurement and Data) ; Interest Rates: Determination, Term Structure, and Effects ; Monetary Policy ; Economic History: Macroeconomics and Monetary Economics; Industrial Structure; Growth; Fluctuations: Africa; Oceania
• Thema: credit shocks ; developing countries ; macroeconomic stabilization policies ; sign restrictions ; Bayesian VAR

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Romain, Houssa ; Mohimont, Jolan ; Otrok, Chris
• Ereignis: Veröffentlichung
• (wer): Center for Economic Studies and ifo Institute (CESifo)
• (wo): Munich
• (wann): 2013

Weitere Informationen

• Handle: http://hdl.handle.net/10419/77663
• Letzte Aktualisierung: 10.03.2025, 11:46 MEZ