Dynamic Effects of Credit Shocks in a Data-Rich Environment
利用美国经济和金融指标的大数据集，在结构因子模型中识别信贷冲击，发现信贷利差意外上升会导致实际经济活动、劳动力市场等指标持续低迷，并加剧了大衰退期间的经济恶化。
We examine the dynamic effects of credit shocks using a large dataset of U.S. economic and financial indicators in a structural factor model. An identified credit shock resulting in an unanticipated increase in credit spreads causes a large and persistent downturn in indicators of real economic activity, labor market conditions, expectations of future economic conditions, a gradual decline in aggregate price indices, and a decrease in short- and longer-term riskless interest rates. Our identification procedure allows us to perform counterfactual experiments which suggest that credit spread shocks have largely contributed to the deterioration in economic conditions during the Great Recession. Recursive estimation of the model reveals relevant instabilities since 2007 and provides further evidence that monetary policy has partly offset the effects of credit shocks on economic activity. Supplementary materials for this article are available online.