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Global Credit Shocks and Real Economies

Helmut Herwartz (), Christian Ochsner and Hannes Rohloff ()
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Helmut Herwartz: University of Goettingen
Hannes Rohloff: University of Goettingen

MAGKS Papers on Economics from Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung)

Abstract: We estimate the marginal effects of identified components of global liquidity on 43 real economies. To this end, we employ global public and private credit components of Herwartz, Ochsner, and Rohloff (2021) in factor-augmented vector-autoregressions to trace credit shocks through the real economy (output, inflation and unemployment). Specifically, two components of global credit boost the business cycle and lower unemployment in the short-run, namely government credit demand and business credit supply, whereas household credit supply is found to deteriorate output. We find substantial heterogeneity with respect to prevalence and amplitude of global sectoral credit effects on real aggregates within the time and cross-sectional (country) dimension.

Keywords: Credit shocks; credit composition; real economy; structural VAR; FAVAR (search for similar items in EconPapers)
JEL-codes: C22 E32 E44 E51 (search for similar items in EconPapers)
Pages: 43 pages
Date: 2021
New Economics Papers: this item is included in nep-cwa, nep-fdg and nep-mac
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Persistent link: https://EconPapers.repec.org/RePEc:mar:magkse:202116

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