US Credit Spillovers to Small Open Economies: A Proxy-VAR Approach

Shian Chang and Natsuki Arai

Hitotsubashi Journal of Economics, 2025, vol. 66, issue 1, 46-60

Abstract: This paper examines the spillovers of US credit supply to small open economies by focusing on three Asian economies, Korea, Singapore, and Taiwan, from 1999 to 2019.We employ a proxy vector autoregressive model (VAR) to identify credit supply shocks in the US and estimate dynamic responses in these Asian economies. Similar to Mian, Sufi and Verner (2017), we find that output in Asian economies increases in the short run but decreases in the long run in response to a positive credit supply shock. The estimated effects are comparable to the responses to domestic credit expansion.

Keywords: international spillover; US; credit supply; Asian economy; proxy VAR (search for similar items in EconPapers)
JEL-codes: E43 E44 E51 F31 F34 (search for similar items in EconPapers)
Date: 2025
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https://hermes-ir.lib.hit-u.ac.jp/hermes/ir/re/85875/HJeco0660100461.pdf

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Persistent link: https://EconPapers.repec.org/RePEc:hit:hitjec:v:66:y:2025:i:1:p:46-60

DOI: 10.15057/hje.2025003

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