Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/80793
Authors: 
Xu, TengTeng
Year of Publication: 
2012
Series/Report no.: 
Bank of Canada Working Paper 2012-36
Abstract: 
This paper examines the role of bank credit in modeling and forecasting business cycle fluctuations, and investigates the international transmission of US credit shocks, using a global vector autoregressive (GVAR) framework and associated country-specific error correction models. The paper constructs and compiles a dataset on bank credit for 33 advanced and emerging market economies from 1979Q1 to 2009Q4. The empirical results suggest that the incorporation of credit provides significant improvement in modeling and forecasting output growth, changes in inflation and long run interest rates, for countries with developed banking sector. Impulse response analysis provide strong evidence of the international spillover of US credit shocks to the UK, the Euro area, Japan and other industrialized economies, and the propagation to the real economy.
Subjects: 
Credit and credit aggregates
Business fluctuations and cycles
Econometric and statistical methods
International financial markets
JEL: 
C32
G21
E44
E32
Document Type: 
Working Paper

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