Mody, Ashoka, Sarno, Lucio and Taylor, Mark P., 1958- (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))).

Preview

PDF WRAP_Taylor_CEPR-DP5037[1].pdf - Requires a PDF viewer such as GSview, Xpdf or Adobe Acrobat Reader Download (250Kb)

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)
Subjects:	H Social Sciences > HG Finance
Divisions:	Faculty of Social Sciences > Warwick Business School Faculty of Social Sciences > Economics
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
Date:	May 2005
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Status:	Not Peer Reviewed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

Request changes to a record

Actions (login required)

View Item