Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/83968
Authors: 
Benk, Szilárd
Gillman, Max
Kejak, Michal
Year of Publication: 
2005
Series/Report no.: 
Cardiff Economics Working Papers E2005/13
Abstract: 
The paper constructs credit shocks using data and the solution to a monetary business cycle model. The model extends the standard stochastic cash-in-advance economy by including the production of credit that serves as an alternative to money in exchange. Shocks to goods productivity, money, and credit productivity are constructed robustly using the solution to the model and quarterly US data on key variables. The contribution of the credit shock to US GDP movements is found, and this is interpreted in terms of changes in banking legislation during the US financial deregulation era. The results put forth the credit shock as a candidate shock that matters in determining GDP, including in the sense of Uhlig (2003).
Subjects: 
Business cycle
credit shocks
financial deregulation
JEL: 
E32
E44
Document Type: 
Working Paper

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