The role of credit and housing shocks in emerging economies

Fábio Augusto Reis Gomes and Gian Soave

Applied Economics Letters, 2021, vol. 28, issue 18, 1552-1557

Abstract: This article investigates the role played by credit and housing shocks in emerging markets through a Bayesian panel vector autoregression for 15 countries. Identification is achieved by sign restrictions, and our findings suggest that credit and housing shocks have a similar contribution to the forecast error variance of the gross domestic product growth at the 25-quarter horizon. However, for the investment-to-GDP ratio, credit shocks seem to be more relevant.

Date: 2021
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DOI: 10.1080/13504851.2020.1830935

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