Do Credit Shocks Matter? A Global Perspective

By Thomas Helbling, Ayhan Kose, Christopher Otrok, Raju Huidrom. Social Science Research Network, 2010

230 citations recorded by the source corpus.

This paper examines the importance of credit market shocks in driving global business cycles over the period 1988:1-2009:4. We first estimate common components in various macroeconomic and financial variables of the G-7 countries. We then evaluate the role played by credit market shocks using a series of VAR models. Our findings suggest that these shocks have been influential in driving global activity during the latest global recession. Credit shocks originating in the United States also have a significant impact on the evolution of world growth during global recessions.

View Paper: https://www.semanticscholar.org/paper/02c1027b2a8def414e21a5d56496319a6b841a58

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Citations in the corpus

Loan Supply Shocks During the Financial Crisis: Evidence for the Euro Area (2012, methodology): “…spread in Bean et al. (2010) and Helbling et al. (2010) is measured by the corporate bond spread, i.e. the spread of investment–grade corporate bonds over government bonds (Bean et al., 2010) or the the yield differences between Moody’s Seasoned Baa and Aaa corporate bonds (Helbling et al., 2010).”
How Do Credit Supply Shocks Propagate Internationally? A Gvar Approach (2015, methodology): “The second approach is the factor-augmented VAR (or FAVAR) (Stock and Watson (2002), Bernanke et al. (2005)), whose applications to international nancial shock transmission include Helbling et al. (2011), Eickmeier et al. (2011a) and Bagliano and Morana (2011).”
Self-oriented monetary policy, global financial markets and excess volatility of international capital flows (2015, unknown): “Helbling et al. (2011) provide empirical evidence on the role of financial shocks in driving global recessions.”
Global House Price Fluctuations: Synchronization and Determinants (2012, unknown): “This is similar to what Helbling et al. (2011) fi nd in the case of the impact of credit shocks on the global business cycle.”
Bank Asset Quality in Emerging Markets: Determinants and Spillovers (2012, background): “…Gulf Cooperation Council (GCC).8 7 Kaminsky and Reinhart (1999), Borio et al. (2001), Jimenez and Saurina (2006), Lown and Morgan (2006), Carlson et al. (2009), Marcucci and Quagliariello (2009), Espinoza and Prasad (2010), Hartelius (2010), Helbling et al. (2011), Meeks (2011) and Nkusu (2011).”
Financial regimes and uncertainty shocks (2019, background): “…of financial disturbances are studied by Gilchrist and Zakraišek (2009, 2012), Nolan and Thoenissen (2009), Gertler and Kiyotaki (2010), Gertler and Karadi (2011), Helbling et al. (2011), Perri and Quadrini (2011), Jermann and Quadrini (2012), Meeks (2012), Liu et al. (2013) among others.”
Cross-Border Banking in Europe: Implications for Financial Stability and Macroeconomic Policies (2011, methodology): “Using a global VAR model for the G7 countries, Helbling et al (2010) confirm the important role of credit shocks during the recent crisis, more so than in previous recessions, stemming especially from the US.”
How Do Business and Financial Cycles Interact? (2011, background): “In addition, credit spreads appear to play an important role in explaining business cycles (Helbling et al., 2011).”