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
[21]   Dissecting the cycle: a methodological investigation [J].
Harding, D ;
Pagan, A .
JOURNAL OF MONETARY ECONOMICS, 2002, 49 (02) :365-381
[22]  
HOPENHAYN H, 2002, 26 DEP EC U TORC DI
[23]   EXPLAINING BUSINESS CYCLES - A MULTIPLE-SHOCK APPROACH [J].
INGRAM, BF ;
KOCHERLAKOTA, NR ;
SAVIN, NE .
JOURNAL OF MONETARY ECONOMICS, 1994, 34 (03) :415-428
[24]   Using theory for measurement: An analysis of the cyclical behavior of home production [J].
Ingram, BF ;
Kocherlakota, NR ;
Savin, NE .
JOURNAL OF MONETARY ECONOMICS, 1997, 40 (03) :435-456
[25]   The finance-growth nexus: Evidence from bank branch deregulation [J].
Jayaratne, J ;
Strahan, PE .
QUARTERLY JOURNAL OF ECONOMICS, 1996, 111 (03) :639-670
[26]  
JONES LE, 1993, J POLIT ECON, V101, P485, DOI 10.1086/261884
[27]   Introduction - Great depressions of the 20th century [J].
Kehoe, TJ ;
Prescott, EC .
REVIEW OF ECONOMIC DYNAMICS, 2002, 5 (01) :1-18
[28]  
KING RG, 1987, UNPUB PRODUCTION GRO
[29]   Credit cycles [J].
Kiyotaki, N ;
Moore, J .
JOURNAL OF POLITICAL ECONOMY, 1997, 105 (02) :211-248
[30]  
KOCHERLAKOTA N, 2000, FEDERAL RESERVE BANK, V24, P2