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 Herwatz, Ochsner and Rohloff (2021) in factor-augmented vector-autoregressions to trace credit shocks through the real economy (ou...

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Bibliographic Details
Published in:MAGKS - Joint Discussion Paper Series in Economics (Band 16-2021)
Main Authors: Herwartz, Helmut, Ochsner, Christian, Rohloff, Hannes
Format: Article
Language:English
Published: Philipps-Universität Marburg 2021
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Summary: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 Herwatz, 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 unemplyment 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.
Physical Description:43 Pages
ISSN:1867-3678
DOI:10.17192/es2024.0692