Do Credit Shocks Matter? A Global Perspective

38 Pages Posted: 1 Feb 2011

See all articles by Thomas Helbling

Thomas Helbling

International Monetary Fund (IMF) - Middle East and Central Asia Department

Raju Huidrom

affiliation not provided to SSRN

M. Ayhan Kose

World Bank; Brookings Institution; Centre for Economic Policy Research (CEPR); Australian National University (ANU)

Chris Otrok

University of Missouri; Federal Reserve Banks - Federal Reserve Bank of St. Louis

Date Written: November 2010

Abstract

This paper examines the importance of credit market shocks in driving global business cycles over the period 1988:1-2009:4. We first estimate common components in various macroeconomic and financial variables of the G-7 countries. We then evaluate the role played by credit market shocks using a series of VAR models. Our findings suggest that these shocks have been influential in driving global activity during the latest global recession. Credit shocks originating in the United States also have a significant impact on the evolution of world growth during global recessions.

Keywords: Business cycles, Capital markets, Credit, Cross country analysis, Economic models, Economic recession, External shocks, Group of seven, Time series, United States

Suggested Citation

Helbling, Thomas and Huidrom, Raju and Kose, M. Ayhan and Otrok, Christopher, Do Credit Shocks Matter? A Global Perspective (November 2010). IMF Working Paper No. 10/261, Available at SSRN: https://ssrn.com/abstract=1751373

Thomas Helbling (Contact Author)

International Monetary Fund (IMF) - Middle East and Central Asia Department ( email )

700 19th Street, N.W.
Washington, DC 20431
United States

Raju Huidrom

affiliation not provided to SSRN ( email )

M. Ayhan Kose

World Bank ( email )

1818 H Street, NW
Washington, DC 20433
United States

Brookings Institution ( email )

1775 Massachusetts Ave, NW
Washington, DC 20036
United States

Centre for Economic Policy Research (CEPR) ( email )

London
United Kingdom

Australian National University (ANU) ( email )

Canberra, Australian Capital Territory 2601
Australia

Christopher Otrok

University of Missouri ( email )

118 Professional Building
Columbia, MO 65211
United States

Federal Reserve Banks - Federal Reserve Bank of St. Louis ( email )

411 Locust St
Saint Louis, MO 63011
United States

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