Feedbacks: Financial Markets and Economic Activity
利用结构向量自回归模型分析美国数据，研究信贷扩张对经济的影响，发现信贷增长与产出正相关，但信贷利差冲击会导致产出下降，且信贷指标对2008-2009年危机预警作用有限。
Is credit expansion a sign of desirable financial deepening or the prelude to an inevitable bust? We study this question in modern US data using a structural VAR model of 10 monthly frequency variables, identified by heteroskedasticity. Negative reduced-form responses of output to credit growth are caused by endogenous monetary policy response to credit expansion shocks. On average, credit and output growth remain positively associated. “Financial stress” shocks to credit spreads cause declines in output and credit levels. Neither credit aggregates nor spreads provide much advance warning of the 2008–2009 crisis, but spreads improve within-crisis forecasts.