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The role of credit and housing shocks in emerging economies

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  • Fábio Augusto Reis Gomes
  • Gian Paulo Soave

Abstract

This article investigates the role played by credit and housing shocks in emerging markets through a Bayesian panel vector autoregression for 15 countries. Identification is achieved by sign restrictions, and our findings suggest that credit and housing shocks have a similar contribution to the forecast error variance of the gross domestic product growth at the 25-quarter horizon. However, for the investment-to-GDP ratio, credit shocks seem to be more relevant.

Suggested Citation

  • Fábio Augusto Reis Gomes & Gian Paulo Soave, 2021. "The role of credit and housing shocks in emerging economies," Applied Economics Letters, Taylor & Francis Journals, vol. 28(18), pages 1552-1557, October.
    • Handle: RePEc:taf:apeclt:v:28:y:2021:i:18:p:1552-1557
    DOI: 10.1080/13504851.2020.1830935
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    Cited by:

    1. Gian Paulo Soave, 2023. "A panel threshold VAR with stochastic volatility-in-mean model: an application to the effects of financial and uncertainty shocks in emerging economies," Applied Economics, Taylor & Francis Journals, vol. 55(4), pages 397-431, January.

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