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Do Credit Shocks Matter? A Global Perspective

Do Credit Shocks Matter? A Global Perspective by Thomas Helbling
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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.
International Monetary Fund; November 2010
37 pages; ISBN 9781455283125
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Title: Do Credit Shocks Matter? A Global Perspective
Author: Thomas Helbling; M. Ayhan Kose; Christopher Otrok; Raju Huidrom