Herwartz, Helmut Ochsner, Christian Rohloff, Hannes
Year of Publication:
MAGKS Joint Discussion Paper Series in Economics No. 16-2021
We estimate the marginal effects of identified components of global liquidity on 43 real economies. To this end, we employ global public and private credit components of Herwartz, Ochsner, and Rohloff (2021) in factor-augmented vector-autoregressions to trace credit shocks through the real economy (output, inflation and unemployment). Specifically, two components of global credit boost the business cycle and lower unemployment in the short-run, namely government credit demand and business credit supply, whereas household credit supply is found to deteriorate output. We find substantial heterogeneity with respect to prevalence and amplitude of global sectoral credit effects on real aggregates within the time and cross-sectional (country) dimension.
Credit shocks credit composition real economy structural VAR FAVAR