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来源类型 | Discussion paper |
规范类型 | 论文 |
来源ID | DP9470 |
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 |
URL | https://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. |
条目包含的文件 | 条目无相关文件。 |
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