期刊名称：Euro Area Balance of Payments and International Investment Position Statistics
印刷版ISSN：1830-3420
电子版ISSN：1830-3439
出版年度：2016
出版社：European Central Bank
摘要：This paper investigates whether credit constraints in the US economy amplify theinternational propagation of US financial shocks. We model the dynamics of the USeconomy jointly with global macroeconomic and financial variables using a thresholdvector autoregression. This model captures regime-specific dynamics conditionalon the severity of credit constraints in the US economy. We identify three mainepisodes of tight credit in US financial history over the past thirty years. Theseoccur in the late-1980s, in the early 2000s, and during the 2007-09 financial crisis.We find that US financial shocks are associated with a significant contraction inglobal economic activity in times of tight credit. By contrast, there is little impactof US financial shocks on the global economy in normal times. This asymmetryhighlights an international dimension of the US financial accelerator mechanism
