| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP7800 |
| DP7800 Is Economic Recovery a Myth? Robust Estimation of Impulse Responses | |
| Coen N. Teulings; Nick Zubanov | |
| 发表日期 | 2010-05-23 |
| 出版年 | 2010 |
| 语种 | 英语 |
| 摘要 | There is a lively debate on the persistence of the current banking crisis' impact on GDP. Impulse Response Functions (IRF) estimated by Cerra and Saxena (2008) suggest that the effects of earlier crises were long-lasting. We show that standard estimates of IRFs are highly sensitive to misspecification of the underlying data generation process. Direct estimation of IRFs by a methodology similar to Jorda's (2005) local projection method is robust to misspecifications of the data generation process but yields biased estimates when country fixed effects are added. We propose a simple method to deal with this bias, which we apply to panel data from 99 countries for the period 1974-2001. Our estimates suggest that an average banking crisis leads to an output loss of around 10 percent with little sign of recovery. GDP losses from banking crises are more severe for African countries and economies in transition. |
| 主题 | Financial Economics |
| 关键词 | Banking crisis Impulse response Panel data |
| URL | https://cepr.org/publications/dp7800 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/536637 |
| 推荐引用方式 GB/T 7714 | Coen N. Teulings,Nick Zubanov. DP7800 Is Economic Recovery a Myth? Robust Estimation of Impulse Responses. 2010. |
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