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.

关联论文摘要：本研究探讨美国信贷供给冲击向其他经济体的传导路径。本文采用近年提出的全局向量自回归（Global Vector Autoregressive, GVAR）方法，对1983年至2009年间33个国家的金融变量与宏观经济变量开展联合建模。我们基于双边贸易、证券投资、外商直接投资及银行敞口构建多国关联渠道，并开展多组模型设定实验。在GVAR模型中同时纳入双边贸易与金融敞口变量，相较于仅使用贸易权重的基准模型，该设定对数据的拟合效果更优。我们通过对美国模型的短期脉冲响应施加符号约束，以识别信贷供给冲击。研究结果表明，负向信贷供给冲击会对美国及海外经济体的GDP产生显著负向影响。多国信贷市场与股票市场均会对该冲击产生明确响应。汇率响应特征符合“避险资金流向美元”的经典逻辑。信贷供给冲击可解释美国一年期前瞻产出预测误差方差的约五分之一，欧元区与英国的该占比约为十分之一，而在其他经济体中占比则显著更低。