Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/73654
Authors: 
Prieto, Esteban
Eickmeier, Sandra
Marcellino, Massimiliano
Year of Publication: 
2013
Series/Report no.: 
Discussion Paper, Deutsche Bundesbank 13/2013
Abstract: 
We analyze the contribution of credit spread, house and stock price shocks to GDP growth in the US based on a Bayesian VAR with time-varying parameters estimated over 1958-2012. Our main findings are: (i) The contribution of financial shocks to GDP growth fluctuates from about 20 percent in normal times to 50 percent during the global financial crisis. (ii) The Great Recession and the subsequent weak recovery can largely be traced back to negative housing shocks. (iii) Housing shocks have become more important for the real economy since the early-2000s, and negative housing shocks are more important than positive ones.
Subjects: 
financial shocks
time-varying parameter VAR model
Global Financial Crisis
macro-financial linkages
JEL: 
C32
E5
E3
ISBN: 
978-3-86558-908-8
Document Type: 
Working Paper

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