How important is the credit channel? An empirical study of the US banking crisis

Liu, Chunping and Minford, Patrick 2013. How important is the credit channel? An empirical study of the US banking crisis. [Working Paper]. Cardiff Economics Working Papers, Cardiff: Cardiff University.

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Abstract

We examine whether by adding a credit channel to the standard New Keynesian model we can account better for the behaviour of US macroeconomic data up to and including the banking crisis. We use the method of indirect inference which evaluates statistically how far a model's simulated behaviour mimics the behaviour of the data. We find that the model with credit dominates the standard model by a substantial margin. Credit shocks are the main contributor to the variation in the output gap during the crisis.

Item Type:	Monograph (Working Paper)
Date Type:	Publication
Status:	Published
Schools:	Business (Including Economics)
Subjects:	H Social Sciences > HB Economic Theory
Publisher:	Cardiff University
Date of First Compliant Deposit:	30 March 2016
Last Modified:	07 Oct 2015 14:47
URI:	https://orca.cardiff.ac.uk/id/eprint/77935

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