Dynamic Effects of Credit Shocks in a Data-Rich Environment

Jean Boivin, Marc Giannoni and Dalibor Stevanovic

CIRANO Working Papers from CIRANO

Abstract: We examine the dynamic effects of credit shocks using a large data set of U.S. economic and financial indicators in a structural factor model. An identified credit shock reflecting an unexpected deterioration in credit market conditions results in an immediate increase in credit spreads, a decrease in yields of Treasury securities, and causes large and persistent downturns in the activity of many economic sectors. Such shocks are found to have important effects on real activity measures, labor market indicators, aggregate prices, and leading indicators. Our identification procedure which imposes restrictions on the impact response of a small number of economic indicators yields interpretable estimated factors.

Keywords: Credit shocks; FAVAR; structural factor analysis (search for similar items in EconPapers)
JEL-codes: C32 C55 E32 E44 (search for similar items in EconPapers)
Date: 2016-10-13
New Economics Papers: this item is included in nep-ban and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (11)

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https://cirano.qc.ca/files/publications/2016s-55.pdf

Related works:
Journal Article: Dynamic Effects of Credit Shocks in a Data-Rich Environment (2020)
Working Paper: Dynamic Effects of Credit Shocks in a Data-Rich Environment (2013)
Working Paper: Dynamic Effects of Credit Shocks in a Data-Rich Environment (2013)
Working Paper: Dynamic effects of credit shocks in a data-rich environment (2013)
Working Paper: Dynamic Effects of Credit Shocks in a Data-Rich Environment (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:cir:cirwor:2016s-55

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