Pratiti Chatterjee, David Gunawan, Robert Kohn
arXiv 30 Apr 2020 · Econometrics · publishedJournal of money credit and banking (2024) · 4 citations (OpenAlex)
arXiv:2004.14719 · PDF · DOI · OpenAlex · Extracted main text
Can uncertainty about credit availability trigger a slowdown in real activity? This question is answered by using a novel method to identify shocks to uncertainty in access to credit. Time-variation in uncertainty about credit availability is estimated using particle Markov Chain Monte Carlo. We extract shocks to time-varying credit uncertainty and decompose it into two parts: the first captures the "pure" effect of a shock to the second moment; the second captures total effects of uncertainty including effects on the first moment. Using state-dependent local projections, we find that the "pure" effect by itself generates a sharp slowdown in real activity and the effects are largely countercyclical. We feed the estimated shocks into a flexible price real business cycle model with a collateral constraint and show that when the collateral constraint binds, an uncertainty shock about credit access is recessionary leading to a simultaneous decline in consumption, investment, and output.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | G. Deligiannidis, A. Doucet, and M. K. Pitt (2018) The correlated pseudo marginal method | 0.737 | 3 | 3 | 67% |
| 2 | Susanto Basu and Brent Bundick (2017) Uncertainty shocks in a model of effective demand | 0.737 | 3 | 2 | 100% |
| 3 | Nicholas Bloom (2009) The impact of uncertainty shocks | 0.737 | 3 | 2 | 100% |
| 4 | Jesús Fernández-Villaverde, Pablo Guerrón-Quintana, Juan F Rubio-Ram… (2011) Risk matters: The real effects of volatility shocks | 0.737 | 3 | 2 | 100% |
| 5 | Òscar Jordà (2005) Estimation and inference of impulse responses by local projections | 0.644 | 2 | 2 | 100% |
| 6 | C. Andrieu, A. Doucet, and R. Holenstein (2010) Particle Markov chain Monte Carlo | 0.511 | 2 | 2 | 50% |
| 7 | Martin M. Andreasen, Jesús Fernández-Villaverde, and Juan F Rubio-Ra… (2018) The pruned state-space system for non-linear DSGE models: Theory and empirical applications | 0.511 | 2 | 1 | 100% |
| 8 | Jesús Fernández-Villaverde, Pablo Guerrón-Quintana, Keith Kuester, a… (2015) Fiscal volatility shocks and economic activity | 0.511 | 2 | 1 | 100% |
| 9 | Òscar Jordà, Mortiz Schularick, and Alan M. Taylor (2013) When credit bites back | 0.511 | 2 | 1 | 100% |
| 10 | Nicholas Bloom, Max Floetotto, Nir Jaimovich, Itay Saporta-Eksten, a… (2018) Really uncertain business cycles | 0.405 | 1 | 1 | 100% |
Showing the top 10 of 22 scored citations.