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dc.contributor.authorXu, TengTengen_GB
dc.date.accessioned2012-04-20T11:45:49Z
dc.date.available2012-04-20T11:45:49Z
dc.date.issued2012-01-05en_GB
dc.identifier.otherCWPE1202
dc.identifier.urihttp://www.dspace.cam.ac.uk/handle/1810/242216
dc.identifier.urihttps://www.repository.cam.ac.uk/handle/1810/242216
dc.description.abstractThe recent financial crisis raises important issues about the role of credit in international business cycles and the transmission of financial shocks across country borders. This paper investigates the international spillover of US credit shocks and the importance of credit in explaining business cycle fluctuations using a global vector autoregressive (GVAR) model with credit, estimated over the period 1979Q2 to 2006Q4 for 26 major advanced and emerging economies. Results from the country-specific models reveal the importance of bank credit in explaining output growth, changes in inflation and long term interest rates in countries with developed banking sector. The generalized impulse response function (GIRF) for a one standard error negative shock to US real credit provides strong evidence of the spillover of US credit shock to the UK, the Euro area, Japan and other industrialized economies.en_GB
dc.publisherFaculty of Economics
dc.relation.ispartofseriesCambridge Working Papers in Economics
dc.rightsAll Rights Reserveden
dc.rights.urihttps://www.rioxx.net/licenses/all-rights-reserved/en
dc.titleThe role of credit in international business cyclesen_GB
dc.typeWorking Paperen_GB
dc.identifier.doi10.17863/CAM.5583
dc.identifier.urlhttp://www.econ.cam.ac.uk/dae/repec/cam/pdf/cwpe1202.pdf


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