credit supply shocks

How Do Credit Supply Shocks Propagate Internationally? A GVAR approach

JEL codes: 
F15, F36, F41
Version Date: 
Dec 2011

We study how credit supply shocks in the US, the euro area and Japan are transmitted to other economies. We use the recently-developed GVAR approach to model financial variables jointly with macroeconomic variables in 33 countries for the period 1983-2009.

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