International Housing Returns and the Financial Crisis: Disentangling Credit Supply and Demand Shocks

2018 ◽  
Author(s):  
Randall Campbell ◽  
Kenneth Roskelley
Keyword(s):  
Financial Crisis ◽  
Supply And Demand ◽  
Demand Shocks ◽  
Credit Supply ◽  
Supply And Demand Shocks ◽  
Housing Returns

scholarly journals BUSINESS CYCLES AND FINANCIAL CRISES: THE ROLES OF CREDIT SUPPLY AND DEMAND SHOCKS

2014 ◽  
Vol 19 (4) ◽  
pp. 836-882 ◽  
Author(s):  
James M. Nason ◽  
Ellis W. Tallman
Keyword(s):  
Business Cycle ◽  
Financial Crises ◽  
Supply And Demand ◽  
Model Space ◽  
Vector Autoregressions ◽  
Financial History ◽  
Demand Shocks ◽  
Credit Supply ◽  
Supply And Demand Shocks ◽  
Inside Money

This paper explores the hypothesis that the sources of economic and financial crises differ from those of noncrisis business cycle fluctuations. We employ Markov-switching Bayesian vector autoregressions (MS-BVARs) to gather evidence about the hypothesis on a long annual U.S. sample running from 1890 to 2010. The sample covers several episodes useful for understanding U.S. economic and financial history, which generate variation in the data that aids in identifying credit supply and demand shocks. We identify these shocks within MS-BVARs by tying credit supply and demand movements to inside money and its intertemporal price. The model space is limited to stochastic volatility (SV) in the errors of the MS-BVARs. Of the 15 MS-BVARs estimated, the data favor a MS-BVAR in which economic and financial crises and noncrisis business cycle regimes recur throughout the long annual sample. The best-fitting MS-BVAR also isolates SV regimes in which shocks to inside money dominate aggregate fluctuations.

scholarly journals The interplay of supply and demand shocks: measuring potential output in the COVID-19 pandemic

2021 ◽  
Vol 45 (4) ◽  
pp. 459-493
Author(s):  
Lovorka Grguric ◽  
◽  
Ozana Nadoveza Jelic ◽  
Nina Pavic ◽  
◽  
...  
Keyword(s):  
Supply And Demand ◽  
Demand Shocks ◽  
Potential Output ◽  
Supply And Demand Shocks

scholarly journals Identifying Aggregate Supply and Demand Shocks in South Africa

2008 ◽  
Vol 17 (5) ◽  
pp. 765-793 ◽  
Author(s):  
S. du Plessis ◽  
B. Smit ◽  
F. Sturzenegger
Keyword(s):  
South Africa ◽  
Supply And Demand ◽  
Demand Shocks ◽  
Aggregate Supply ◽  
Supply And Demand Shocks
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