Macro-Financial Linkages: evidence from country-specific VARs 1

摘要: This paper estimates the contribution of financial shocks to fluctuations in real economy by augmenting standard macroeconomic vector autoregression (VAR) with five variables (real stock prices, house term spread, loans-to-GDP ratio and loans-todeposits ratio). VAR is estimated separately for 19 industrialised countries over 1980Q1-2010Q4 using three alternative measures economic activity: GDP, private consumption or total investment. Financial are identified imposing a recursive structure (Choleski decomposition). Several results stand out. First, effect on fairly heterogeneous across countries, confirming previous findings literature. Second, provide surprisingly large explaining (33% GDP variance at 3-year horizon average countries) exceeding from monetary policy shocks. Third, most important source appears be asset prices account 12% 9%). Shocks spread leverage (credit-to-GDP loans-to-deposits ratio) each contribute an additional 3-4% variance. Fourth, combined usually higher investment than consumption. Fifth, historical decompositions indicate that much more contributions output during episodes associated imbalances (both booms busts). suggests possible time-variation non-linearities macrofinancial linkages left future research.