Credit Booms Gone Bust: Replication of Schularick and Taylor (AER 2012)
用开源软件gretl复现了Schularick和Taylor关于信贷增长与金融危机关系的研究，并用贝叶斯方法验证了结果的稳健性，发现不同国家信贷增长的边际效应差异很大。
Summary This paper replicates the results in Schularick and Taylor ( American Economic Review 2012; 102 (2): 1029–1061; ST hereafter). Specifically, I replicate ST's results in the ‘narrow’ sense by reproducing their calculations in the open source econometrics package gretl. (Gretl is an acronym for Gnu Regression, Econometrics and Time‐series Laboratory. It is available for Windows, Mac and Linux at www.gretl.sourceforge.net .) I also demonstrate the robustness of ST's findings to different estimation methods. I obtain qualitatively similar results to ST via Bayesian estimation of both static and dynamic panel probit models. Finally, I show that the marginal effects of credit growth on the probability of a financial crisis vary considerably across the countries in the dataset. Copyright © 2016 John Wiley & Sons, Ltd.