A Cross-Country Financial Accelerator: Evidence from North America and Europe

Ashoka Mody, Lucio Sarno () and Mark P. Taylor ()

No 5037, CEPR Discussion Papers from C.E.P.R. Discussion Papers

Abstract: A growing literature has examined the importance of credit market imperfections for macroeconomic fluctuations, the so-called financial accelerator. A related literature has provided evidence of international and regional co-movements in macroeconomic fluctuations. We tie together these strands of the literature in that we investigate the importance of both cross-country and country-specific credit cycles in explaining output fluctuations. Using data for four major economies and two world regions from 1973 to 2001, we find that both regional and country-specific components of indicators of credit availability are powerful in explaining output movements. This research provides the first empirical evidence of a cross-country financial accelerator.

Keywords: credit cycle; financial accelerator; international business cycles; Kalman filter (search for similar items in EconPapers)
JEL-codes: E32 E51 F36 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-eec, nep-fmk, nep-mac and nep-mon
Date: 2005-05
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Related works:
Working Paper: A Cross-Country Financial Accelorator: Evidence from North America and Europe (2005)
Journal Article: A cross-country financial accelerator: Evidence from North America and Europe (2007)
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