Dynamic Effects of Credit Shocks in a Data-Rich Environment

Marc Giannoni, Jean Boivin and Dalibor Stevanovic

No 9470, CEPR Discussion Papers from C.E.P.R. Discussion Papers

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. The identified credit shocks, interpreted as unexpected deteriorations of credit market conditions, immediately increase credit spreads, decrease rates on Treasury securities, and cause large and persistent downturns in the activity of many economic sectors. Such shocks are found to have important effects on real activity measures, aggregate prices, leading indicators, and credit spreads. Our identification procedure does not require any timing restrictions between the financial and macroeconomic factors, and yields interpretable estimated factors.

Keywords: Credit shock; Structural factor analysis (search for similar items in EconPapers)
JEL-codes: C32 E32 E44 (search for similar items in EconPapers)
Date: 2013-05
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Citations: View citations in EconPapers (24)

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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 (2016)
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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