Credit Shocks and Macroeconomic Fluctuations in Emerging Markets

Romain Houssa, Jolan Mohimont and Christopher Otrok

No 4281, CESifo Working Paper Series from CESifo

Abstract: In this paper, we examine the role of global and domestic credit supply shocks in macroeconomic fluctuations for Emerging Markets. For this purpose, we impose a set of zero and sign restrictions within a medium-scale Bayesian Vector Auto-Regressive model. Quarterly data from South Africa and G-7 countries in 1985-2010 show that credit supply shocks impact significantly on macroeconomic aggregates in these economies. However, credit supply shocks have played, on average, a less important role than credit demand shocks. Moreover, shocks originating from G7-countries are the main drivers of real activity in South Africa, although they played a marginal role in the 1996-1999 South African recession.

Keywords: credit shocks; developing countries; macroeconomic stabilization policies; sign restrictions; Bayesian VAR (search for similar items in EconPapers)
JEL-codes: C15 C33 C51 C53 E30 E43 E52 N17 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (12)

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Persistent link: https://EconPapers.repec.org/RePEc:ces:ceswps:_4281

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