Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/93648
Authors: 
Boivin, Jean
Giannoni, Marc P.
Stevanovi´c, Dalibor
Year of Publication: 
2013
Series/Report no.: 
Staff Report, Federal Reserve Bank of New York 615
Abstract: 
We examine the dynamic effects of credit shocks using a large data set of U.S. economic and financial indicators in a structural factor model. The identified credit shocks, interpreted as unexpected deteriorations of credit market conditions, immediately increase credit spreads, decrease rates on Treasury securities, and cause large and persistent downturns in the activity of many economic sectors. Such shocks are found to have important effects on real activity measures, aggregate prices, leading indicators, and credit spreads. Our identification procedure does not require any timing restrictions between the financial and macroeconomic factors and yields interpretable estimated factors.
Subjects: 
credit shock
structural factor analysis
JEL: 
C32
E32
E44
Document Type: 
Working Paper

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