Credit shocks in the financial deregulatory era: Not the usual suspects

被引:21
作者
Benk, S
Gillman, M
Kejak, M
机构
[1] Cent European Univ, Dept Econ, H-1051 Budapest, Hungary
[2] Cardiff Business Sch, Cardiff, Wales
[3] Hungarian Acad Sci, Inst Econ, H-1051 Budapest, Hungary
关键词
business cycle; credit shocks; financial deregulation;
D O I
10.1016/j.red.2005.01.012
中图分类号
F [经济];
学科分类号
02 ;
摘要
The paper constructs credit shocks using data and the solution to a monetary business cycle model. The model extends the standard stochastic cash-in-advance economy by including the production of credit that serves as an alternative to money in exchange. Shocks to goods productivity, money, and credit productivity are constructed robustly using the solution to the model and quarterly US data on key variables. The contribution of the credit shock to US GDP movements is found, and this is interpreted in terms of changes in banking legislation during the US financial deregulation era. The results put forth the credit shock as a candidate shock that matters in determining GDP, including in the sense of Uhlig [What moves real GNP, Manuscript, Humbolt University, Berlin, 2003]. (c) 2005 Elsevier Inc. All rights reserved.
引用
收藏
页码:668 / 687
页数:20
相关论文
共 35 条
[1]  
[Anonymous], 101 I EMP MACR FED R
[2]  
[Anonymous], FEDERAL RESERVE BANK
[3]  
BENK S, 2004, 72004 CENTR EUR U BU
[4]   The economic effects of technological progress: Evidence from the banking industry [J].
Berger, AN .
JOURNAL OF MONEY CREDIT AND BANKING, 2003, 35 (02) :141-176
[5]  
BRY G, 1971, 20 COL U
[6]   INSPECTING THE MECHANISM - AN ANALYTICAL APPROACH TO THE STOCHASTIC GROWTH-MODEL [J].
CAMPBELL, JY .
JOURNAL OF MONETARY ECONOMICS, 1994, 33 (03) :463-506
[7]   Real effects of bank competition [J].
Cetorelli, N .
JOURNAL OF MONEY CREDIT AND BANKING, 2004, 36 (03) :543-558
[8]  
CHARI V, 2003, 625 FED RES BANK MIN
[9]   The US and UK Great Depressions through the lens of neoclassical growth theory [J].
Cole, HL ;
Ohanian, LE .
AMERICAN ECONOMIC REVIEW, 2002, 92 (02) :28-32
[10]  
COOLEY TF, 1989, AM ECON REV, V79, P733