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...
Wedi'i Gadw mewn:
| Cyhoeddwyd yn: | MAGKS - Joint Discussion Paper Series in Economics (Band 16-2021) |
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| Prif Awduron: | , , |
| Fformat: | Erthygl |
| Iaith: | Saesneg |
| Cyhoeddwyd: |
Philipps-Universität Marburg
2021
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| Pynciau: | |
| Mynediad Ar-lein: | Testun PDF llawn |
| Tagiau: |
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| Crynodeb: | 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. |
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| Disgrifiad Corfforoll: | 43 Seiten |
| ISSN: | 1867-3678 |
| DOI: | 10.17192/es2024.0692 |