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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)
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
Official Date: May 2005
Dates:
DateEvent
May 2005Published
Number: No.503
Number of Pages: 29
Institution: University of Warwick
Status: Not Peer Reviewed
Access rights to Published version: Open Access

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