Time Variation in Macro-Financial Linkages (replication data)

DOI

We analyze the contribution of credit spread, house and stock price shocks to the US economy based on a time-varying parameter vector autoregressive model. We find that the contribution of financial shocks to gross domestic product growth fluctuates from about 20% in normal times to more than 50% during the Great Recession. The Great Recession and the subsequent weak recovery can largely be traced back to negative housing shocks. Housing shocks have become more important for the real economy since the early 2000s, and negative housing shocks are more important than positive ones. Unexpected increases in credit spreads have not been deflationary recently.

Identifier
DOI https://doi.org/10.15456/jae.2022326.0700278264
Metadata Access https://www.da-ra.de/oaip/oai?verb=GetRecord&metadataPrefix=oai_dc&identifier=oai:oai.da-ra.de:775498
Provenance
Creator Prieto, Esteban; Eickmeier, Sandra; Marcellino, Massimiliano
Publisher ZBW - Leibniz Informationszentrum Wirtschaft
Publication Year 2016
Rights Creative Commons Attribution 4.0 (CC-BY); Download
OpenAccess true
Contact ZBW - Leibniz Informationszentrum Wirtschaft
Representation
Language English
Resource Type Collection
Discipline Economics; Social and Behavioural Sciences