Financial shocks, credit spreads, and the international credit channel*

• 成果类型: Article
• 署名作者: Cesa-Bianchi, Ambrogio; Sokol, Andrej
• 署名单位: Bank of England; Centre for Economic Policy Research - UK; European Central Bank
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2021.103543
• 发表日期: 2022
• 关键词: SVAR; Credit channel; international transmission; External instruments; sign restrictions; Financial shocks; monetary policy shocks; Information shocks

摘要

We provide evidence on the international transmission of US financial shocks, and compare their effects to monetary policy and central bank information shocks in a two-country SVAR for the US and the UK. Adverse financial shocks trigger a contraction in the US economy and an increase in credit spreads. The tightening in US credit conditions is quickly transmitted internationally, leading to an increase in credit spreads and a slowdown in economic activity in the UK. As for monetary policy and central bank information shocks, cross-country comovement in credit spreads amplifies the impact of financial shocks on the real economy. Our findings support the notion of an 'international credit channel' as a key transmission mechanism for cross-country spillovers. (c) 2021 The Bank of England and The Author(s). Published by Elsevier B.V. All rights reserved.