G2TT
来源类型Discussion paper
规范类型论文
来源IDDP9470
DP9470 Dynamic Effects of Credit Shocks in a Data-Rich Environment
Marc Giannoni; Jean Boivin; Dalibor Stevanovic
发表日期2013-05-12
出版年2013
语种英语
摘要We examine the dynamic effects of credit shocks using a large data set of U.S. economic and financial indicators in a structural factor model. The identified credit shocks, interpreted as unexpected deteriorations of credit market conditions, immediately increase credit spreads, decrease rates on Treasury securities, and cause large and persistent downturns in the activity of many economic sectors. Such shocks are found to have important effects on real activity measures, aggregate prices, leading indicators, and credit spreads. Our identification procedure does not require any timing restrictions between the financial and macroeconomic factors, and yields interpretable estimated factors.
主题International Macroeconomics
关键词Credit shock Structural factor analysis
URLhttps://cepr.org/publications/dp9470
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/538305
推荐引用方式
GB/T 7714
Marc Giannoni,Jean Boivin,Dalibor Stevanovic. DP9470 Dynamic Effects of Credit Shocks in a Data-Rich Environment. 2013.
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