Please use this identifier to cite or link to this item: http://hdl.handle.net/1893/27636
Appears in Collections:Economics Journal Articles
Peer Review Status: Refereed
Title: Nonfinancial sector debt and the U.S. Great Moderation: Evidence from flow-of-funds data
Author(s): Grydaki, Maria
Bezemer, Dirk
Contact Email: maria.grydaki@stir.ac.uk
Keywords: Economics and Econometrics
Accounting
Finance
causality
credit
Great Moderation
VAR
Issue Date: 31-Jan-2019
Citation: Grydaki M & Bezemer D (2019) Nonfinancial sector debt and the U.S. Great Moderation: Evidence from flow-of-funds data. International Journal of Finance & Economics, 24 (1), pp. 80-96. https://doi.org/10.1002/ijfe.1650.
Abstract: In the mid‐1980s, two shifts occurred in the US economy: the strong decline of macroeconomic volatility and the strong increase of borrowing by the nonfi-nancial sector above the level of output growth until 2007. Since access to credit may decrease output fluctuations, we hypothesize that during the Great Moderation borrowing by the nonfinancial sector in excess of gross domestic product (GDP) growth moderated GDP fluctuations. We estimate Generalized Autoregressive Conditional Heteroskedasticity (GARCH) models over 1954– 2008 to measure output growth volatility and run Vector Autoregressive (VAR) models and a counterfactual simulation in order to analyse the relation of credit growth in excess of output growth and output growth volatility.
DOI Link: 10.1002/ijfe.1650
Rights: This item has been embargoed for a period. During the embargo 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. This is the peer reviewed version of the following article: Grydaki M, Bezemer D. Nonfinancial sector debt and the U.S. Great Moderation: Evidence from flow‐of‐funds data. Int J Fin Econ. 2019;24:80–96, which has been published in final form at https://doi.org/10.1002/ijfe.1650. This article may be used for non-commercial purposes in accordance with Wiley Terms and Conditions for self-archiving.

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