Series: IMF Working Papers
Author(s): Thomas Helbling , Ayhan Kose , Christopher Otrok , and Raju Huidrom
Publisher: INTERNATIONAL MONETARY FUND
Publication Date: 01 November 2010
Keywords: credit spreads, macroeconomic fluctuations, global recession, recession, recessions, global recessions, financial markets, Financial Markets and the Macroeconomy, Financial Aspects of Economic Integration, Open Economy Macroeconomics
This paper examines the importance of credit market shocks in driving global business cycles over the period 1988:1-2009:4. We first estimate common components in various macroeconomic and financial variables of th...