Data for: How do US credit supply shocks propagate internationally? A GVAR approach

Abstract of associated article: We study how US credit supply shocks are transmitted to other economies. We use the recently developed GVAR approach to model financial variables jointly with macroeconomic variables in 33 countries for the period 1983–2009. We experiment with inter-country links based on bilateral trade, portfolio investment, foreign direct investment and banking exposures. Capturing both bilateral trade and financial exposures in a GVAR fits the data better than using trade weights only. We use sign restrictions on the short-run impulse responses in the US model to identify the credit supply shocks. We find that negative credit supply shocks have strong negative effects on US and foreign GDP. Credit and equity markets in several countries respond clearly to the shocks. Exchange rate responses are consistent with a “flight to quality” to the US dollar. The credit supply shocks explain about a fifth of one-year-ahead output forecast error variance in the US and about a tenth in the euro area and the UK, but considerably less elsewhere.

本文摘要：本研究探讨美国信贷供应冲击如何传导至其他经济体。我们采用近期开发的GVAR方法，将33个国家的金融变量与宏观经济变量联合建模，研究时段为1983年至2009年。我们基于双边贸易、投资组合投资、外国直接投资和银行敞口进行跨国联系实验。在GVAR模型中同时捕捉双边贸易和金融敞口，比仅使用贸易权重更能拟合数据。我们通过对美国模型中的短期脉冲响应施加符号限制，以识别信贷供应冲击。研究发现，负向信贷供应冲击对美国及外国GDP产生强烈的负面效应。多个国家的信贷和股票市场对冲击作出明显反应。汇率反应与美元“品质避险”相一致。信贷供应冲击解释了美国一年期产出预测误差方差的大约五分之一，欧元区和英国约为十分之一，但其他地区则相对较少。