Arbeitspapier
Global Credit Shocks and Real Economies
We estimate the marginal effects of identified components of global liquidity on 43 real economies. To this end, we employ global public and private credit components of Herwartz, Ochsner, and Rohloff (2021) in factor-augmented vector-autoregressions to trace credit shocks through the real economy (output, inflation and unemployment). Specifically, two components of global credit boost the business cycle and lower unemployment in the short-run, namely government credit demand and business credit supply, whereas household credit supply is found to deteriorate output. We find substantial heterogeneity with respect to prevalence and amplitude of global sectoral credit effects on real aggregates within the time and cross-sectional (country) dimension.
- Sprache
-
Englisch
- Erschienen in
-
Series: MAGKS Joint Discussion Paper Series in Economics ; No. 16-2021
- Klassifikation
-
Wirtschaft
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Business Fluctuations; Cycles
Financial Markets and the Macroeconomy
Money Supply; Credit; Money Multipliers
- Thema
-
Credit shocks
credit composition
real economy
structural VAR
FAVAR
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Herwartz, Helmut
Ochsner, Christian
Rohloff, Hannes
- Ereignis
-
Veröffentlichung
- (wer)
-
Philipps-University Marburg, School of Business and Economics
- (wo)
-
Marburg
- (wann)
-
2021
- 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
- Herwartz, Helmut
- Ochsner, Christian
- Rohloff, Hannes
- Philipps-University Marburg, School of Business and Economics
Entstanden
- 2021
Ähnliche Objekte (12)
Global Credit Shocks and Real Economies
Global and regional shocks: Challenges to Asian economies
The transmission of international shocks to CIS economies: A Global VAR approach
Agricultural Price Shocks and Business Cycles - A Global Warning for Advanced Economies
Funding Shocks and Credit Quality
Technology Shocks and Employment in Open Economies
Technology Shocks and Employment in Open Economies
Emerging economies, trade policy, and macroeconomic shocks
Propagation of nominal shocks in open economies
Technology Shocks and Employment in Open Economies
Technology Shocks and Employment in Open Economies
The connection between more multinational banks and less real credit in transition economies
Global Credit Shocks and Real Economies
Global and regional shocks: Challenges to Asian economies
The transmission of international shocks to CIS economies: A Global VAR approach
Agricultural Price Shocks and Business Cycles - A Global Warning for Advanced Economies
Funding Shocks and Credit Quality
Technology Shocks and Employment in Open Economies
Technology Shocks and Employment in Open Economies
Emerging economies, trade policy, and macroeconomic shocks
Propagation of nominal shocks in open economies
Technology Shocks and Employment in Open Economies
Technology Shocks and Employment in Open Economies
The connection between more multinational banks and less real credit in transition economies
Global Credit Shocks and Real Economies
Global and regional shocks: Challenges to Asian economies
The transmission of international shocks to CIS economies: A Global VAR approach
Agricultural Price Shocks and Business Cycles - A Global Warning for Advanced Economies
Funding Shocks and Credit Quality
Technology Shocks and Employment in Open Economies
Technology Shocks and Employment in Open Economies
Emerging economies, trade policy, and macroeconomic shocks
Propagation of nominal shocks in open economies
Technology Shocks and Employment in Open Economies
Technology Shocks and Employment in Open Economies