Credit Shocks and Macroeconomic Fluctuations in Emerging Markets
In this paper, we examine the role of global and domestic credit supply shocks in macroeconomic fluctuations for Emerging Markets. For this purpose, we impose a set of zero and sign restrictions within a medium-scale Bayesian Vector Auto-Regressive model. Quarterly data from South Africa and G-7 countries in 1985-2010 show that credit supply shocks impact significantly on macroeconomic aggregates in these economies. However, credit supply shocks have played, on average, a less important role than credit demand shocks. Moreover, shocks originating from G7-countries are the main drivers of real activity in South Africa, although they played a marginal role in the 1996-1999 South African recession.
|Date of creation:||2013|
|Date of revision:|
|Contact details of provider:|| Postal: |
Phone: +49 (89) 9224-0
Fax: +49 (89) 985369
Web page: http://www.cesifo.de
More information through EDIRC
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.:
- Andrea Gerali & Stefano Neri & Luca Sessa & Federico M. Signoretti, 2010.
"Credit and Banking in a DSGE Model of the Euro Area,"
Journal of Money, Credit and Banking,
Blackwell Publishing, vol. 42(s1), pages 107-141, 09.
- Andrea Gerali & Stefano Neri & Luca Sessa & Federico M. Signoretti, 2010. "Credit and banking in a DSGE model of the euro area," Temi di discussione (Economic working papers) 740, Bank of Italy, Economic Research and International Relations Area.
- Gilchrist, Simon & Yankov, Vladimir & Zakrajsek, Egon, 2009.
"Credit market shocks and economic fluctuations: Evidence from corporate bond and stock markets,"
Journal of Monetary Economics,
Elsevier, vol. 56(4), pages 471-493, May.
- Simon Gilchrist & Vladimir Yankov & Egon Zakrajsek, 2009. "Credit Market Shocks and Economic Fluctuations: Evidence from Corporate Bond and Stock Markets," NBER Working Papers 14863, National Bureau of Economic Research, Inc.
- Vladimir Yankov & Egon Zakrajsek & Simon Gilchrist, 2009. "Credit Market Shocks and Economic Fluctuations: Evidence from Corporate Bond and Stock Markets," 2009 Meeting Papers 514, Society for Economic Dynamics.
- Wai-Mun Chia & Joseph D. Alba, 2006. "Terms-of-Trade Shocks and Exchange Rate Regimes in a Small Open Economy," The Economic Record, The Economic Society of Australia, vol. 82(s1), pages S41-S53, 09.
- Helbling, Thomas & Huidrom, Raju & Kose, M. Ayhan & Otrok, Christopher, 2011.
"Do credit shocks matter? A global perspective,"
European Economic Review,
Elsevier, vol. 55(3), pages 340-353, April.
- Deaton, A-S & Miller, R-I, 1995.
"International Commodity Prices, Macroeconomic Performance, and Politics in Sub-Saharan Africa,"
Princeton Studies in International Economics
79, International Economics Section, Departement of Economics Princeton University,.
- Deaton, Angus & Miller, Ron, 1996. "International Commodity Prices, Macroeconomic Performance and Politics in Sub-Saharan Africa," Journal of African Economies, Centre for the Study of African Economies (CSAE), vol. 5(3), pages 99-191, October.
- Houssa, Romain, 2008.
"Monetary union in West Africa and asymmetric shocks: A dynamic structural factor model approach,"
Journal of Development Economics,
Elsevier, vol. 85(1-2), pages 319-347, February.
- Romain Houssa, 2004. "Monetary Union in West Africa and Asymmetric Shocks: A Dynamic Structural Factor Model Approach," Economics Series Working Papers WPS/2004-17, University of Oxford, Department of Economics.
- Romain Houssa, 2004. "Monetary Union in West Africa and Asymmetric Shocks: A Dynamic Structural Factor Model Approach," Development and Comp Systems 0409063, EconWPA.
- Vasco Cúrdia & Michael Woodford, 2009.
"Credit spreads and monetary policy,"
385, Federal Reserve Bank of New York.
- Jørn Inge Halvorsen & Dag Henning Jacobsen, 2009. "Are bank lending shocks important for economic fluctuations?," Working Paper 2009/27, Norges Bank.
- Trautwein, Hans-Michael, 2000. " The Credit View, Old and New," Journal of Economic Surveys, Wiley Blackwell, vol. 14(2), pages 155-89, April.
- Kose, M. Ayhan, 2002. "Explaining business cycles in small open economies: 'How much do world prices matter?'," Journal of International Economics, Elsevier, vol. 56(2), pages 299-327, March.
- Allan W. Gregory & Allen C. Head & Jacques Raynauld, 1994.
"Measuring World Business Cycles,"
902, Queen's University, Department of Economics.
- Romain Houssa & Christopher Otrok & Radu Puslenghea, 2010. "A Model for Monetary Policy Analysis for Sub-Saharan Africa," Open Economies Review, Springer, vol. 21(1), pages 127-145, February.
- Broda, Christian, 2004. "Terms of trade and exchange rate regimes in developing countries," Journal of International Economics, Elsevier, vol. 63(1), pages 31-58, May.
- Atta-Mensah, Joseph & Dib, Ali, 2008.
"Bank lending, credit shocks, and the transmission of Canadian monetary policy,"
International Review of Economics & Finance,
Elsevier, vol. 17(1), pages 159-176.
- Joseph Atta-Mensah & Ali Dib, 2003. "Bank Lending, Credit Shocks, and the Transmission of Canadian Monetary Policy," Working Papers 03-9, Bank of Canada.
- 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.
- Hristov, Nikolay & Hülsewig, Oliver & Wollmershäuser, Timo, 2012.
"Loan supply shocks during the financial crisis: Evidence for the Euro area,"
Munich Reprints in Economics
19367, University of Munich, Department of Economics.
- Hristov, Nikolay & Hülsewig, Oliver & Wollmershäuser, Timo, 2012. "Loan supply shocks during the financial crisis: Evidence for the Euro area," Journal of International Money and Finance, Elsevier, vol. 31(3), pages 569-592.
- Nikolay Hristov & Oliver Hülsewig & Timo Wollmershäuser, 2011. "Loan Supply Shocks during the Financial Crisis: Evidence for the Euro Area," CESifo Working Paper Series 3395, CESifo Group Munich.
- Gambetti, Luca & Musso, Alberto, 2012. "Loan supply shocks and the business cycle," Working Paper Series 1469, European Central Bank.
- Torsten Schmidt & Lina Zwick, 2012. "In Search for a Credit Crunch in Germany," Ruhr Economic Papers 0361, Rheinisch-Westfälisches Institut für Wirtschaftsforschung, Ruhr-Universität Bochum, Universität Dortmund, Universität Duisburg-Essen.
- M. Ayhan Kose & Christopher Otrok & Charles H. Whiteman, 2003. "International Business Cycles: World, Region, and Country-Specific Factors," American Economic Review, American Economic Association, vol. 93(4), pages 1216-1239, September.
- Meeks, Roland, 2012. "Do credit market shocks drive output fluctuations? Evidence from corporate spreads and defaults," Journal of Economic Dynamics and Control, Elsevier, vol. 36(4), pages 568-584.
- Oludele Akinloye Akinboade & Daniel Makina, 2010. "Econometric analysis of bank lending and business cycles in South Africa," Applied Economics, Taylor & Francis Journals, vol. 42(29), pages 3803-3811.
When requesting a correction, please mention this item's handle: RePEc:ces:ceswps:_4281. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Julio Saavedra)
If references are entirely missing, you can add them using this form.