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Inside the black box: How important is the credit channel relative to the interest and exchange rate channels?

Claus, Iris

Description

This paper develops a dynamic general equilibrium model to assess the importance of the credit channel relative to the interest and exchange rate channels. It is motivated by increasing theoretical and empirical evidence that credit market conditions affect the propagation of cyclical fluctuations in the economy. The relative contribution of each channel is determined by comparing the impulse responses when the relevant channel is suppressed with the impulse responses when all three channels...[Show more]

dc.contributor.authorClaus, Iris
dc.date.accessioned2015-12-10T22:27:25Z
dc.identifier.issn0264-9993
dc.identifier.urihttp://hdl.handle.net/1885/54192
dc.description.abstractThis paper develops a dynamic general equilibrium model to assess the importance of the credit channel relative to the interest and exchange rate channels. It is motivated by increasing theoretical and empirical evidence that credit market conditions affect the propagation of cyclical fluctuations in the economy. The relative contribution of each channel is determined by comparing the impulse responses when the relevant channel is suppressed with the impulse responses when all three channels are operating. The analysis shows that all three channels affect business cycle dynamics. But the interest rate channel has the largest effects in the transmission of shocks to the economy. The results suggest that it is substantially more important than the credit channel.
dc.publisherButterworths
dc.sourceEconomic Modelling
dc.subjectKeywords: General equilibrium model; Open economy; Transmission channels
dc.titleInside the black box: How important is the credit channel relative to the interest and exchange rate channels?
dc.typeJournal article
local.description.notesImported from ARIES
local.identifier.citationvolume28
dc.date.issued2011
local.identifier.absfor140199 - Economic Theory not elsewhere classified
local.identifier.ariespublicationf5625xPUB294
local.type.statusPublished Version
local.contributor.affiliationClaus, Iris, College of Asia and the Pacific, ANU
local.description.embargo2037-12-31
local.bibliographicCitation.issue1-2
local.bibliographicCitation.startpage1
local.bibliographicCitation.lastpage12
local.identifier.doi10.1016/j.econmod.2010.10.006
dc.date.updated2016-02-24T09:04:09Z
local.identifier.scopusID2-s2.0-78650246280
CollectionsANU Research Publications

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