A14

Sociology of Economics

MACRO-FINANCIAL LINKAGES: EVIDENCE FROM COUNTRYSPECIFIC VARS

JEL codes: 
A14
Version Date: 
Mar 2012
Author/s: 
Abstract: 

This paper estimates the contribution of financial shocks to fluctuations in the
real economy by augmenting the standard macroeconomic vector
autoregression (VAR) with five financial variables (real stock prices, real
house prices, term spread, loans-to-GDP ratio and loans-to-deposits ratio).

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