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A note on pitfalls of credit crunch regressions

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  • Kato, Ryo

Abstract

This note introduces an example where a typical credit crunch regression fails to detect significant effects of borrowing constraints embedded in a dynamic general equilibrium model. The failed estimation result remains robust even if the regression is based on a large sample.

Suggested Citation

  • Kato, Ryo, 2008. "A note on pitfalls of credit crunch regressions," Economics Letters, Elsevier, vol. 99(3), pages 504-507, June.
    • Handle: RePEc:eee:ecolet:v:99:y:2008:i:3:p:504-507
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    2. Kiyotaki, Nobuhiro & Moore, John, 1997. "Credit Cycles," Journal of Political Economy, University of Chicago Press, vol. 105(2), pages 211-248, April.
    3. Fumio Hayashi & Edward C. Prescott, 2002. "The 1990s in Japan: A Lost Decade," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 5(1), pages 206-235, January.
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    6. Ben S. Bernanke & Cara S. Lown, 1991. "The Credit Crunch," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 22(2), pages 205-248.
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