Global Banks, Financial Shocks and International Business Cycles: Evidence from Estimated Models

Robert Kollmann ()

No 840, 2012 Meeting Papers from Society for Economic Dynamics

Abstract: This paper takes a two-country model with a global bank to US and Euro Area (EA) data. The estimation results (based on Bayesian methods) suggest that global banking strengthens the positive international transmission of real economic disturbances. Shocks that originate in the banking sector account for roughly 20% of the forecast error variance of investment, and about 5% of the forecast variance of US and EA GDP. Bank shocks explain 5%-20% of the fall in US and EA real activity, during the Great Recession.

Date: 2012
New Economics Papers: this item is included in nep-ban, nep-cba, nep-dge, nep-eec, nep-for, nep-mac and nep-opm
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Related works:
Journal Article: Global Banks, Financial Shocks, and International Business Cycles: Evidence from an Estimated Model (2013)
Working Paper: Global Banks, Financial Shocks And International Business Cycles: Evidence From An Estimated Model (2013)
Working Paper: Global Banks, Financial Shocks and International Business Cycles: Evidence from an Estimated Model (2012)
Working Paper: Global banks, financial shocks and international business cycles: evidence from an estimated model (2012)
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