کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5089179 1375585 2013 12 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
The role of credit in the Great Moderation: A multivariate GARCH approach
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
The role of credit in the Great Moderation: A multivariate GARCH approach
چکیده انگلیسی
During the Great Moderation, financial innovation in the US increased the size and scope of credit flows supporting the growth of wealth. We hypothesize that spending out of wealth came to finance a wider range of GDP components such that it smoothed GDP. Both these trends combined would be consistent with a decrease in the volatility of output. We suggest testable implications in terms of both growth of credit and output and volatility of growth. In a multivariate GARCH framework, we test this view for home mortgages and residential investment. We observe unidirectional causality in variance from total output, residential investment and non-residential output to mortgage lending before, but not during the Great Moderation. These findings are consistent with a role for credit dynamics in explaining the Great Moderation.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Banking & Finance - Volume 37, Issue 11, November 2013, Pages 4615-4626
نویسندگان
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