Do Credit Shocks Matter? A Global Perspective

Do Credit Shocks Matter? A Global Perspective
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Volume/Issue:
2010/261
Series:
IMF Working Papers
Author(s):
Thomas Helbling, Ayhan Kose, Christopher Otrok, and Raju Huidrom
Publisher:
INTERNATIONAL MONETARY FUND
Published Date:
November 2010
DOI:
http://dx.doi.org/10.5089/9781455209613.001
ISBN:
9781455209613
ISSN:
1018-5941
Page:
37
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.

Do Credit Shocks Matter? A Global Perspective

Author(s):
Thomas Helbling, Ayhan Kose, Christopher Otrok, and Raju Huidrom
Published Date:
November 2010
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