Boivin, Jean; Giannoni, Marc P.; Stevanovic, Dalibor - Federal Reserve Bank of New York - 2013
We examine the dynamic effects of credit shocks using a large data set of U.S. economic and financial indicators in a … structural factor model. The identified credit shocks, interpreted as unexpected deteriorations of credit market conditions …, immediately increase credit spreads, decrease rates on Treasury securities, and cause large and persistent downturns in the …