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A cross-country financial accelerator: evidence from North America and Europe
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Mody, Ashoka, Sarno, Lucio and Taylor, Mark P. (2005) A cross-country financial accelerator: evidence from North America and Europe. Discussion Paper. London: Centre for Economic Policy Research (Great Britain). Discussion paper (Centre for Economic Policy Research (Great Britain)) (No.503).
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Abstract
A growing literature has examined the importance of credit market imperfections for macroeconomic fluctuations, the so-called financial accelerator. A related literature has provided evidence of international and regional co-movements in macroeconomic fluctuations. We tie together these strands of the literature in that we investigate the importance of both cross-country and country-specific credit cycles in explaining output fluctuations. Using data for four major economies and two world regions from 1973 to 2001, we find that both regional and country-specific components of indicators of credit availability are powerful in explaining output movements. This research provides the first empirical evidence of a cross-country financial accelerator.
| Item Type: | Working or Discussion Paper (Discussion Paper) | ||||
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| Subjects: | H Social Sciences > HG Finance | ||||
| Divisions: | Faculty of Social Sciences > Warwick Business School Faculty of Social Sciences > Economics |
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| Library of Congress Subject Headings (LCSH): | Credit -- Seasonal variations, Acceleration principle (Economics), Capital investments -- Mathematical models, Business cycles, Kalman filtering, International economic relations | ||||
| Series Name: | Discussion paper (Centre for Economic Policy Research (Great Britain)) | ||||
| Publisher: | Centre for Economic Policy Research (Great Britain) | ||||
| Place of Publication: | London | ||||
| Official Date: | May 2005 | ||||
| Dates: |
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| Number: | No.503 | ||||
| Number of Pages: | 29 | ||||
| Status: | Not Peer Reviewed | ||||
| Access rights to Published version: | Open Access | ||||
| URI: | http://wrap.warwick.ac.uk/id/eprint/1676 |
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