Please use this identifier to cite or link to this item: http://hdl.handle.net/1893/17037
Full metadata record
DC FieldValueLanguage
dc.contributor.authorGrydaki, Maria-
dc.contributor.authorBezemer, Dirk-
dc.date.accessioned2017-02-10T23:58:26Z-
dc.date.issued2013-11-
dc.identifier.urihttp://hdl.handle.net/1893/17037-
dc.description.abstractDuring the Great Moderation, financial innovation in the US increased the size and scope of credit flows supporting the growth of wealth. We hypothesize that spending out of wealth came to finance a wider range of GDP components such that it smoothed GDP. Both these trends combined would be consistent with a decrease in the volatility of output. We suggest testable implications in terms of both growth of credit and output and volatility of growth. In a multivariate GARCH framework, we test this view for home mortgages and residential investment. We observe unidirectional causality in variance from total output, residential investment and non-residential output to mortgage lending before, but not during the Great Moderation. These findings are consistent with a role for credit dynamics in explaining the Great Moderation.en_UK
dc.language.isoen-
dc.publisherElsevier-
dc.relationGrydaki M & Bezemer D (2013) The role of credit in the Great Moderation: A multivariate GARCH approach, Journal of Banking and Finance, 37 (11), pp. 4615-4626.-
dc.rightsThe publisher does not allow this work to be made publicly available in this Repository. Please use the Request a Copy feature at the foot of the Repository record to request a copy directly from the author. You can only request a copy if you wish to use this work for your own research or private study.-
dc.subjectGreat Moderationen_UK
dc.subjectMortgage crediten_UK
dc.subjectMultivariate GARCHen_UK
dc.subjectCausalityen_UK
dc.titleThe role of credit in the Great Moderation: A multivariate GARCH approachen_UK
dc.typeJournal Articleen_UK
dc.rights.embargodate2999-12-31T00:00:00Z-
dc.rights.embargoreasonThe publisher does not allow this work to be made publicly available in this Repository therefore there is an embargo on the full text of the work.-
dc.identifier.doihttp://dx.doi.org/10.1016/j.jbankfin.2013.01.039-
dc.citation.jtitleJournal of Banking and Finance-
dc.citation.issn0378-4266-
dc.citation.volume37-
dc.citation.issue11-
dc.citation.spage4615-
dc.citation.epage4626-
dc.citation.publicationstatusPublished-
dc.citation.peerreviewedRefereed-
dc.type.statusPublisher version (final published refereed version)-
dc.author.emailmaria.grydaki@stir.ac.uk-
dc.contributor.affiliationEconomics-
dc.contributor.affiliationUniversity of Groningen-
dc.rights.embargoterms2999-12-31-
dc.rights.embargoliftdate2999-12-31-
Appears in Collections:Economics Journal Articles

Files in This Item:
File Description SizeFormat 
Grydaki and Bezemer (2013).pdf486.96 kBAdobe PDFUnder Permanent Embargo    Request a copy


This item is protected by original copyright



Items in the Repository are protected by copyright, with all rights reserved, unless otherwise indicated.

If you believe that any material held in STORRE infringes copyright, please contact library@stir.ac.uk providing details and we will remove the Work from public display in STORRE and investigate your claim.