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Erscheinungsjahr: 
2013
Schriftenreihe/Nr.: 
CESifo Working Paper No. 4281
Verlag: 
Center for Economic Studies and ifo Institute (CESifo), Munich
Zusammenfassung: 
In this paper, we examine the role of global and domestic credit supply shocks in macroeconomic fluctuations for Emerging Markets. For this purpose, we impose a set of zero and sign restrictions within a medium-scale Bayesian Vector Auto-Regressive model. Quarterly data from South Africa and G-7 countries in 1985-2010 show that credit supply shocks impact significantly on macroeconomic aggregates in these economies. However, credit supply shocks have played, on average, a less important role than credit demand shocks. Moreover, shocks originating from G7-countries are the main drivers of real activity in South Africa, although they played a marginal role in the 1996-1999 South African recession.
Schlagwörter: 
credit shocks
developing countries
macroeconomic stabilization policies
sign restrictions
Bayesian VAR
JEL: 
C51
C33
C15
C53
E30
E43
E52
N17
Dokumentart: 
Working Paper
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