| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP9436 |
| DP9436 Time Variation in Macro-Financial Linkages | |
| Massimiliano Marcellino; Sandra Eickmeier; Esteban Prieto | |
| 发表日期 | 2013-04-21 |
| 出版年 | 2013 |
| 语种 | 英语 |
| 摘要 | We analyze the contribution of credit spread, house and stock price shocks to GDP growth in the US based on a Bayesian VAR with time-varying parameters estimated over 1958-2012. Our main findings are: (i) The contribution of financial shocks to GDP growth fluctuates from about 20 percent in normal times to 50 percent during the global financial crisis. (ii) The Great Recession and the subsequent weak recovery can largely be traced back to negative housing shocks. (iii) Housing shocks have become more important for the real economy since the early-2000s, and negative housing shocks are more important than positive ones. |
| 主题 | International Macroeconomics |
| 关键词 | Financial shocks Global financial crisis Macro-financial linkages Time-varying parameter var model |
| URL | https://cepr.org/publications/dp9436 |
| 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/538272 |
| 推荐引用方式 GB/T 7714 | Massimiliano Marcellino,Sandra Eickmeier,Esteban Prieto. DP9436 Time Variation in Macro-Financial Linkages. 2013. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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