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Credit, default, financial system and development

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  • Matos, Paulo
  • da Silva, Cristiano
  • dos Santos, Davi
  • Reinaldo, Luciana

Abstract

We address instrumentalized co-movements across time and frequencies between macro-finance variables and household decisions in terms of consumer loans, home mortgage and its respective delinquency rates in U.S. Methodologically, we use partial wavelet coherency, partial phase-difference diagram and partial regression coefficient. We provide insights to stock market return prediction and asset pricing puzzles. Our findings are useful to draw public policies to safeguard financial stability and to analyze financial crisis drivers. The simultaneous variation of statistics along time and frequencies allow us to detect new stylized facts about the last three decades of U.S. financial development and economic growth.

Suggested Citation

  • Matos, Paulo & da Silva, Cristiano & dos Santos, Davi & Reinaldo, Luciana, 2021. "Credit, default, financial system and development," The Quarterly Review of Economics and Finance, Elsevier, vol. 79(C), pages 281-289.
    • Handle: RePEc:eee:quaeco:v:79:y:2021:i:c:p:281-289
    DOI: 10.1016/j.qref.2020.07.001
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    1. Zhang, Xu & Ding, Zhijing & Hang, Jianqin & He, Qizhi, 2022. "How do stock price indices absorb the COVID-19 pandemic shocks?," The North American Journal of Economics and Finance, Elsevier, vol. 60(C).

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