Credit, asset prices and business cycles at the global level

Economic Modelling

Volumn 54, Issue , 2016, Pages 139-152

  Dees, Stéphane ^a  

^a EUROPEAN CENTRAL BANK   (Germany)

Author keywords

Business cycle; Financial cycle; GVAR model; International transmission of shocks

Indexed keywords

EID: 84955463393     PISSN: 02649993     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.econmod.2015.12.027     Document Type: Article

References (25)

1. Andrews D.W.K., Ploberger W. Optimal tests when a nuisance parameter is present only under the alternative. Econometrica 1994, 62:1383-1414.
2. Borio C. The financial cycle and macroeconomics: what have we learnt?. BIS Working Papers 2012, 395.
3. Canova F., de Nicoló G. Monetary disturbances matter for business fluctuations in the g-7. J. Monet. Econ. 2002, 49(6):1131-1159.
4. Cesa-Bianchi A. Housing cycles and macroeconomic fluctuations: a global perspective. J. Int. Money Financ. 2013, 37:215-238.
5. Cesa-Bianchi A., Pesaran M.H., Rebucci A., Xu T. On the transmission of global shocks to latin america before and after China's emergency in the world economy. Economía 2012, 12:1-75.
6. Dees S., di Mauro F., Pesaran M.H., Smith L.V. Exploring the international linkages of the euro area: A GVAR analysis. J. Appl. Econ. 2007, 22:1-38.
7. Drehmann M., Borio C., Tsatsaronis K. Characterising the financial cycle: don't lose sight of the medium term!. BIS Working Papers 2012, 380.
8. Eickmeier S., Ng T. How do US credit supply shocks propagate internationally? a GVAR approach. Eur. Econ. Rev. 2015, 74:128-145.
9. Faust J. The Robustness of Identified VAR Conclusions About Money 1998, Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers 610.
10. Hansen B.E. Tests for parameter instability in regressions with i(1) processes. Journal of Business and Economic Statistics 1992, 10:321-336.
11. Hendry D.F., Mizon G.E. Exogeneity, causality, and co-breaking in economic policy analysis of a small econometric model of money in the UK. Empir. Econ. 1998, 23:267-294.
12. Hristov N., Hülsewig O., Wollmershäuser T. Loan supply shocks during the financial crisis: evidence for the euro area. CESifo Working Paper 2011, 3395.
13. Kan K., Kwong K.S., Leung K.Y. The dynamics and volatility of commercial and residential property prices: theory and evidence. J. Reg. Sci. 2004, 44:95-123.
14. Koop G., Pesaran M.H., Potter S.M. Impulse response analysis in nonlinear multivariate models. J. Econ. 1996, 74:119-147.
15. Morley J. Macro-Finance Linkages 2013.
16. Nyblom J. Testing for the constancy of parameters over time. J. Am. Stat. Assoc. 1989, 84:223-230.
17. Pesaran M.H., Schuermann T., Weiner S.M. Modelling regional interdependencies using a global error-correcting macroeconometric model. Journal of Business & Economic Statistics 2004, 22:129-162.
18. Pesaran M.H., Shin Y. Cointegration and speed of convergence to equilibrium. J. Econ. 1996, 71:117-143.
19. Pesaran M.H., Shin Y. Generalized impulse response analysis in linear multivariate models. Econ. Lett. 1998, 58:17-29.
20. Ploberger W., Krämer W. The CUSUM test with OLS-residuals. Econometrica 1992, 60:271-286.
21. Quandt R. Tests of the hypothesis that a linear regression system obeys two separate regimes. J. Am. Stat. Assoc. 1960, 55:324-330.
22. Rubio-Ramirez J., Waggoner D.F., Zha T. Structural vector autoregressions: theory of identification and algorithms for inference. Review of Economic Studies 2010, 77:665-696.
23. Sims C. Macroeconomics and reality, Econometrica 1980, 48:1-48.
24. Uhlig H. What are the effects of monetary policy? Results from an agnostic identification procedure. J. Monet. Econ. 2005, 52:381-419.
25. Xu T.T. The Role of Credit in International Business Cycles. Cambridge Working Papers in Economics 1202 2012, University of Cambridge.