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Do Credit Shocks Matter? A Global Perspective

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Listed:
  • Mr. Thomas Helbling
  • Mr. Ayhan Kose
  • Mr. Christopher Otrok
  • Raju Huidrom

Abstract

This paper examines the importance of credit market shocks in driving global business cycles over the period 1988:1-2009:4. We first estimate common components in various macroeconomic and financial variables of the G-7 countries. We then evaluate the role played by credit market shocks using a series of VAR models. Our findings suggest that these shocks have been influential in driving global activity during the latest global recession. Credit shocks originating in the United States also have a significant impact on the evolution of world growth during global recessions.

Suggested Citation

  • Mr. Thomas Helbling & Mr. Ayhan Kose & Mr. Christopher Otrok & Raju Huidrom, 2010. "Do Credit Shocks Matter? A Global Perspective," IMF Working Papers 2010/261, International Monetary Fund.
    • Handle: RePEc:imf:imfwpa:2010/261
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