ABSTRACT
This article investigates the role played by credit and housing shocks in emerging markets through a Bayesian panel vector autoregression for 15 countries. Identification is achieved by sign restrictions, and our findings suggest that credit and housing shocks have a similar contribution to the forecast error variance of the gross domestic product growth at the 25-quarter horizon. However, for the investment-to-GDP ratio, credit shocks seem to be more relevant.
Disclosure statement
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Supplementary material
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Notes
1 Savings rates or money market rates are used whenever deposit rates are unavailable.
2 Table 2 in the online appendix presents descriptive statistics of the selected variables.
3 See Balakrishnan et al. (Citation2011) for details on the construction of each sub-index and Soave (Citation2020) on estimation details.