Report
The Impact of Credit Market Sentiment Shocks - A TVAR Approach
| العنوان: | The Impact of Credit Market Sentiment Shocks - A TVAR Approach |
|---|---|
| المؤلفون: | Böck, Maximilian, Zörner, Thomas O. |
| المصدر: | Böck , M & Zörner , T O 2019 ' The Impact of Credit Market Sentiment Shocks - A TVAR Approach ' Department of Economics Working Paper Series , no. 288 , WU Vienna University of Economics and Business , Vienna . https://doi.org/10.57938/d4e80a65-b290-4a5d-80d8-e599106c7b4c |
| بيانات النشر: | WU Vienna University of Economics and Business |
| سنة النشر: | 2019 |
| مصطلحات موضوعية: | /dk/atira/pure/keywords/oefos-6-digit/1/101/101026, name=101026 Time series analysis, /dk/atira/pure/keywords/oefos-6-digit/5/502/502025, name=502025 Econometrics, /dk/atira/pure/keywords/oefos-6-digit/5/502/502047, name=502047 Economic theory, /dk/atira/pure/keywords/oefos-6-digit/5/502/502018, name=502018 Macroeconomics, /dk/atira/pure/keywords/working_paper_series/1/S5, name=Department of Economics Working Paper Series |
| الوصف: | This paper investigates the role of credit market sentiments and investor beliefs on credit cycle dynamics and their propagation to business cycle fluctuations. Using US data from 1968 to 2019, we show that credit market sentiments are indeed able to detect asymmetries in a small-scale macroeconomic model. By exploiting recent developments in behavioral finance on expectation formation in financial markets, we are able to identify an unexpected credit market news shock exhibiting different impacts in an optimistic and pessimistic credit market environment. While an unexpected movement in the optimistic regime leads to a rather low to muted impact on output and credit, we find a significant and persistent negative impact on those variables in the pessimistic regime. Therefore, this article departs from the current literature on the role of financial frictions for explaining business cycle behavior in macroeconomics and argues in line with recent theoretical contributions on the relevance of expectation formation and beliefs as source of cyclicity and instability in financial markets. |
| نوع الوثيقة: | report |
| وصف الملف: | application/pdf |
| اللغة: | English |
| DOI: | 10.57938/d4e80a65-b290-4a5d-80d8-e599106c7b4c |
| الاتاحة: | https://research.wu.ac.at/de/publications/d4e80a65-b290-4a5d-80d8-e599106c7b4c https://doi.org/10.57938/d4e80a65-b290-4a5d-80d8-e599106c7b4c https://research.wu.ac.at/ws/files/34399859/wp288.pdf |
| Rights: | info:eu-repo/semantics/openAccess |
| رقم الانضمام: | edsbas.84AC7886 |
| قاعدة البيانات: | BASE |
| DOI: | 10.57938/d4e80a65-b290-4a5d-80d8-e599106c7b4c |
|---|