Credit shocks in the financial deregulatory era: Not the usual suspects

Gillman, Max, Benk, Szild and Kejak, Michal 2005. Credit shocks in the financial deregulatory era: Not the usual suspects. [Working Paper]. Cardiff Economics Working Papers, Cardiff: Cardiff University. Available at: http://business.cardiff.ac.uk/research/working-pap...

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Abstract

The paper constructs credit shocks using data and the solution to a monetary business cycle model. The model extends the standard stochastic cash-in-advance economy by including the production of credit that serves as an alternative to money in exchange. Shocks to goods productivity, money, and credit productivity are constructed robustly using the solution to the model and quarterly US data on key variables. The contribution of the credit shock to US GDP movements is found, and this is interpreted in terms of changes in banking legislation during the US financial deregulation era. The results put forth the credit shock as a candidate shock that matters in determining GDP, including in the sense of Uhlig (2003).

Item Type:	Monograph (Working Paper)
Date Type:	Publication
Status:	Published
Schools:	Business (Including Economics)
Subjects:	H Social Sciences > HB Economic Theory
Uncontrolled Keywords:	Business cycle; credit shocks; financial deregulation
Publisher:	Cardiff University
Date of First Compliant Deposit:	30 March 2016
Last Modified:	19 Mar 2016 23:13
URI:	https://orca.cardiff.ac.uk/id/eprint/43595

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