Time Variation in Macro‐Financial Linkages
基于时变参数向量自回归模型，分析了信用利差、房价和股价冲击对美国经济的影响，发现金融冲击对GDP增长的贡献在正常时期约20%，在大衰退期间超过50%，且大衰退及后续疲弱复苏主要源于负面住房冲击。
Summary We analyze the contribution of credit spread, house and stock price shocks to the US economy based on a time‐varying parameter vector autoregressive model. We find that the contribution of financial shocks to gross domestic product growth fluctuates from about 20% in normal times to more than 50% during the Great Recession. The Great Recession and the subsequent weak recovery can largely be traced back to negative housing shocks. Housing shocks have become more important for the real economy since the early 2000s, and negative housing shocks are more important than positive ones. Unexpected increases in credit spreads have not been deflationary recently. Copyright © 2016 John Wiley & Sons, Ltd.