Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/234752 
Erscheinungsjahr: 
2017
Schriftenreihe/Nr.: 
Document de travail No. 2017-07
Verlag: 
Université du Québec à Montréal, École des sciences de la gestion (ESG UQAM), Département des sciences économiques, Montréal
Zusammenfassung: 
We examine the dynamic effects of credit shocks using a large data set of U.S. economic and financial indicators in a structural factor model. An identified credit shock resulting in an unanticipated increase in credit spreads causes a large and persistent downturn in indicators of real economic activity, labor market conditions, expectations of future economic conditions, a gradual decline in aggregate price indices, and a decrease in short- and longer-term riskless interest rates. Our identification procedure allows us to perform counterfactual experiments which suggest that credit spread shocks have largely contributed to the deterioration in economic conditions during the Great Recession. Recursive estimation of the model reveals relevant instabilities since 2007 and provides further evidence that monetary policy has partly offset the effects of credit shocks on economic activity.
Schlagwörter: 
Credit shocks
FAVAR
structural factor analysis.
JEL: 
C55
C32
E32
E44
Dokumentart: 
Working Paper

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