EconPapers    
Economics at your fingertips  
 

Spillovers from Euro Area and U.S. Credit and Demand Shocks: Comparing Emerging Europe on the Basis of a GVAR Model

Ludmila Fadejeva, Martin Feldkircher and Thomas Reininger ()
Additional contact information
Thomas Reininger: Oesterreichische Nationalbank, Foreign Research Division

Working Papers from Oesterreichische Nationalbank (Austrian Central Bank)

Abstract: We examine the international effects of adverse loan supply and aggregate demand shocks originating in the euro area and the U.S.A. For that purpose, we use a global vector autoregressive (GVAR) model and isolate disturbances stemming from loan supply from those of four other macroeconomic shocks by means of sign restrictions. Our general results are as follows: Domestic and international responses of total credit and output to an adverse loan supply shock are substantial. They are more pronounced than the responses to an aggregate demand shock. Under both types of shocks, total credit decreases considerably more strongly than output in the long run, implying a reduction in financial deepening. This deleveraging process is particularly pronounced in the case of loan supply shocks. Taking a regional angle, Central-, Eastern- and Southeastern Europe (CESEE) and even considerably more the Commonwealth of Independent States (CIS) are the most strongly affected regions, and their total credit and output responses are stronger than in the country of shock origin. This is true for both types of structural shocks in the euro area and in the U.S.A. Last, historical decompositions of deviations from trend growth show that for the euro area developments, foreign shocks originating in the U.S.A., the UK and the CESEE and CIS regions feature most prominently, while for the U.S. developments, foreign shocks emanating from the euro area and China play a considerable role.

Pages: 45
Date: 2015-01-22
References: Add references at CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
https://www.oenb.at/dam/jcr:3dd7d44d-f12e-49d2-8b68-975b02362ded/WP198.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 403 Forbidden (https://www.oenb.at/dam/jcr:3dd7d44d-f12e-49d2-8b68-975b02362ded/WP198.pdf [303 See Other]--> https://www.oenb.at/error_path/403.html?al_req_id=X2dhTbkoLBjS8QKjd4bu@QAAAS8)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:onb:oenbwp:198

Ordering information: This working paper can be ordered from
Oesterreichische Nationalbank, Economic Studies Division, c/o Beate Hofbauer-Berlakovich, POB 61, A-1011 Vienna, Austria

The price is The price is Free subject to availability..

Access Statistics for this paper

More papers in Working Papers from Oesterreichische Nationalbank (Austrian Central Bank) P.O. Box 61, A-1011 Vienna, Austria. Contact information at EDIRC.
Bibliographic data for series maintained by Markus Knell and Helmut Stix ().

 
Page updated 2020-09-21
Handle: RePEc:onb:oenbwp:198