On the Macroeconomic Effects of Credit Shocks

Vincenzo Quadrini and Urban Jermann

No 169, 2009 Meeting Papers from Society for Economic Dynamics

Abstract: In this paper we study how credit shocks, that is, shocks affecting the ability to raise external funds for borrowers, affect macroeconomic fluctuations. A positive credit shock leads to a typical macroeconomic boom, with an expansion in consumption, investment, labor, output and productivity. In addition to credit shocks, we also consider the typical TFP shocks that effect productivity directly. We structurally estimate the model with both shocks to the US data using Bayesian methods and find that credit shocks contribute significantly to the US business cycle fluctuations. Credit shocks are also the major force for the fluctuations in financial flows.

Date: 2009
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

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:red:sed009:169

Access Statistics for this paper

More papers in 2009 Meeting Papers from Society for Economic Dynamics Society for Economic Dynamics Marina Azzimonti Department of Economics Stonybrook University 10 Nicolls Road Stonybrook NY 11790 USA. Contact information at EDIRC.
Bibliographic data for series maintained by Christian Zimmermann ().