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Credit Shocks in the Financial Deregulatory Era: Not the Usual Suspects

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Author Info
Benk, Szilárd
Gillman, Max () (Cardiff Business School)
Kejak, Michal

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Abstract

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 (2003).

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File URL: http://www.cardiff.ac.uk/carbs/econ/workingpapers/papers/E2005_13.pdf
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Publisher Info
Paper provided by Cardiff University, Cardiff Business School, Economics Section in its series Cardiff Economics Working Papers with number E2005/13.

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Length: 30 pages
Date of creation: Dec 2005
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Publication status: Published in Review of Economic Dynamics
Handle: RePEc:cdf:wpaper:2005/13

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Related research
Keywords: Business cycle credit shocks financial deregulation

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Find related papers by JEL classification:
E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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  3. Ingram, Beth F. & Kocherlakota, Narayana R. & Savin, N. E., 1997. "Using theory for measurement: An analysis of the cyclical behavior of home production," Journal of Monetary Economics, Elsevier, vol. 40(3), pages 435-456, December. [Downloadable!] (restricted)
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  24. Michal Kejak & Szilard Benk & Max Gillman, 2004. "Credit Shocks in a Monetary Business Cycle," 2004 Meeting Papers 133, Society for Economic Dynamics. [Downloadable!]
  25. Mark G. Guzman, 2003. "Slow but steady progress toward financial deregulation," The Southwest Economy, Federal Reserve Bank of Dallas, issue Jan, pages 1, 6-9, 1. [Downloadable!]
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Benk, Szilárd & Gillman, Max & Kejak, Michal, 2005. "A Comparison of Exchange Economies within a Monetary Business Cycle," Cardiff Economics Working Papers E2005/14, Cardiff University, Cardiff Business School, Economics Section. [Downloadable!]
    Other versions:
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