Add to ORKGWe examine the dynamic effects of credit shocks using a large data set of U.S. economic and financial indicators in a structural factor model. The identified credit shocks, interpreted as unexpected deteriorations of credit market conditions, immediately increase credit spreads, decrease rates on Treasury securities, and cause large and persistent downturns in the activity of many economic sectors. Such shocks are found to have important effects on real activity measures, aggregate prices, leading indicators, and credit spreads. Our identification procedure does not require any timing restrictions between the financial and macroeconomic factors, and yields interpretable estimated factors
I document the cyclical properties of aggregate balance sheet variables of the U.S. commercial banki...
We investigate the role played by credit supply shocks across the business cycle in the U.S. over th...
We develop a high-dimensional, nonlinear, and non-Gaussian dynamic factor model for the decompositio...
We examine the dynamic effects of credit shocks using a large data set of U.S. economic and financia...
<p>We examine the dynamic effects of credit shocks using a large dataset of U.S. economic and financ...
Several recent papers have found that exogenous shocks to lending spreads in cor-porate credit marke...
Are exogenous shocks to lending spreads in corporate credit markets a substantial source of macroeco...
In this paper we identify and measure the effects of credit shocks in a small open economy. To incor...
In this paper we identify and measure the effects of credit shocks in a small open economy. To incor...
We document the cyclical properties of U.S. firms ’ financial flows and show that equity payout is p...
In the aftermath of the recent financial crisis, a variety of structural vector autoregression (VAR)...
In the aftermath of the recent financial crisis, a variety of structural vector autoregression (VAR)...
In the aftermath of the recent financial crisis, a variety of structural vector autoregression (VAR)...
In the aftermath of the recent financial crisis, a variety of structural vector autoregression (VAR)...
The views expressed in this paper are those of the authors and do not necessarily reflect the positi...
I document the cyclical properties of aggregate balance sheet variables of the U.S. commercial banki...
We investigate the role played by credit supply shocks across the business cycle in the U.S. over th...
We develop a high-dimensional, nonlinear, and non-Gaussian dynamic factor model for the decompositio...
We examine the dynamic effects of credit shocks using a large data set of U.S. economic and financia...
<p>We examine the dynamic effects of credit shocks using a large dataset of U.S. economic and financ...
Several recent papers have found that exogenous shocks to lending spreads in cor-porate credit marke...
Are exogenous shocks to lending spreads in corporate credit markets a substantial source of macroeco...
In this paper we identify and measure the effects of credit shocks in a small open economy. To incor...
In this paper we identify and measure the effects of credit shocks in a small open economy. To incor...
We document the cyclical properties of U.S. firms ’ financial flows and show that equity payout is p...
In the aftermath of the recent financial crisis, a variety of structural vector autoregression (VAR)...
In the aftermath of the recent financial crisis, a variety of structural vector autoregression (VAR)...
In the aftermath of the recent financial crisis, a variety of structural vector autoregression (VAR)...
In the aftermath of the recent financial crisis, a variety of structural vector autoregression (VAR)...
The views expressed in this paper are those of the authors and do not necessarily reflect the positi...
I document the cyclical properties of aggregate balance sheet variables of the U.S. commercial banki...
We investigate the role played by credit supply shocks across the business cycle in the U.S. over th...
We develop a high-dimensional, nonlinear, and non-Gaussian dynamic factor model for the decompositio...