How do credit supply shocks propagate internationally?: a GVAR approach
Gespeichert in:
| Hauptverfasser: | , |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Frankfurt am Main
Dt. Bundesbank
2011
|
| Schriftenreihe: | Discussion paper / Deutsche Bundesbank : Series 1, Economic studies
2011,27 |
| Online-Zugang: | Volltext Inhaltsverzeichnis |
| Beschreibung: | Auch im Internet verfügbar. - Zsfassung in dt. Sprache |
| Beschreibung: | 53 S. graph. Darst. |
| ISBN: | 9783865587626 9783865587633 |
Internformat
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| 020 | |a 9783865587633 |c (Internetversion) |9 978-3-86558-763-3 | ||
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Datensatz im Suchindex
| _version_ | 1804148705917403136 |
|---|---|
| adam_text | Titel: How do credit supply shocks propagate internationally?
Autor: Eickmeier, Sandra
Jahr: 2011
Contents
1 Introduction 1
2 Literature relevant to our contributions 3
2.1 Empirical international financial shock transmission literature........ 3
2.2 Credit supply shock identification........................ 4
2.3 Examination of different GVAR weighting schemes.............. 4
3 The GVAR model and its estimation 5
3.1 Theoretical framework.............................. 5
3.2 Estimation .................................... 6
4 Data and VARX setups 7
4.1 Data........................................ 7
4.1.1 Modelled time series........................... 7
4.1.2 Weights used to construct foreign variables.............. 9
4.1.3 Comparison with statistical factors for foreign variables....... 11
4.2 VARX setups................................... 12
5 Model selection and estimation results 13
5.1 Forecasting performance tests and information criteria for alternative GVAR
specifications................................... 13
5.2 Estimation results for benchmark specification ................ 15
6 Credit supply shock identification 15
7 Impulse response analysis 18
7.1 Domestic transmission of credit supply shocks................. 18
7.2 International transmission of credit supply shocks............... 19
8 Robustness analysis 22
8.1 The effects of alternative weighting schemes.................. 22
8.2 Further robustness checks............................ 23
9 Concluding remarks 23
|
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| bvnumber | BV039784265 |
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| id | DE-604.BV039784265 |
| illustrated | Illustrated |
| indexdate | 2024-07-10T00:11:23Z |
| institution | BVB |
| isbn | 9783865587626 9783865587633 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-024645043 |
| oclc_num | 775072849 |
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| owner_facet | DE-20 DE-12 DE-188 DE-355 DE-BY-UBR DE-945 |
| physical | 53 S. graph. Darst. |
| psigel | ebook |
| publishDate | 2011 |
| publishDateSearch | 2011 |
| publishDateSort | 2011 |
| publisher | Dt. Bundesbank |
| record_format | marc |
| series2 | Discussion paper / Deutsche Bundesbank : Series 1, Economic studies |
| spelling | Eickmeier, Sandra Verfasser (DE-588)129194581 aut How do credit supply shocks propagate internationally? a GVAR approach Sandra Eickmeier; Tim Ng Frankfurt am Main Dt. Bundesbank 2011 53 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Discussion paper / Deutsche Bundesbank : Series 1, Economic studies 2011,27 Auch im Internet verfügbar. - Zsfassung in dt. Sprache Ng, Tim Verfasser aut Deutsche Bundesbank Discussion paper Series 1, Economic studies ; 2011,27 (DE-604)BV017594637 2011,27 http://hdl.handle.net/10419/54720 Verlag kostenfrei Volltext HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=024645043&sequence=000004&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Eickmeier, Sandra Ng, Tim How do credit supply shocks propagate internationally? a GVAR approach |
| title | How do credit supply shocks propagate internationally? a GVAR approach |
| title_auth | How do credit supply shocks propagate internationally? a GVAR approach |
| title_exact_search | How do credit supply shocks propagate internationally? a GVAR approach |
| title_full | How do credit supply shocks propagate internationally? a GVAR approach Sandra Eickmeier; Tim Ng |
| title_fullStr | How do credit supply shocks propagate internationally? a GVAR approach Sandra Eickmeier; Tim Ng |
| title_full_unstemmed | How do credit supply shocks propagate internationally? a GVAR approach Sandra Eickmeier; Tim Ng |
| title_short | How do credit supply shocks propagate internationally? |
| title_sort | how do credit supply shocks propagate internationally a gvar approach |
| title_sub | a GVAR approach |
| url | http://hdl.handle.net/10419/54720 http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=024645043&sequence=000004&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| volume_link | (DE-604)BV017594637 |
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