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Corporate credit, stock price inflation and economic fluctuations

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  • Jan Groen

Abstract

This study analyses the empirical interaction between real corporate credit, real income, real stock prices, the short-term interest rate and inflation for the Netherlands and the USA. The framework is based on a five-variable structural vector error correction model which identifies the permanent and temporary shocks within the system. Erratic shocks in the real amount of corporate credit and in stock prices could potentially have some impact on inflation in the case of the USA and on real output in the Netherlands. However, the structural VAR analysis also shows that the above-mentioned erratic shocks only explain a small proportion of the variation in inflation and economic activity, and inflation objective shifts and supply side shocks are much more important determinants for economic fluctuations.

Suggested Citation

  • Jan Groen, 2004. "Corporate credit, stock price inflation and economic fluctuations," Applied Economics, Taylor & Francis Journals, vol. 36(18), pages 1995-2006.
    • Handle: RePEc:taf:applec:v:36:y:2004:i:18:p:1995-2006
    DOI: 10.1080/0003684042000258251
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    References listed on IDEAS

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    Cited by:

    1. Serhat Yuksel & Mustafa Ozsari, 2016. "Impact of Consumer Loans on Inflation and Current Account Deficit: A Toda Yamamoto Causality Test for Turkey," World Journal of Applied Economics, WERI-World Economic Research Institute, vol. 2(2), pages 3-14, December.
    2. Hristov, Nikolay & Hülsewig, Oliver & Wollmershäuser, Timo, 2012. "Loan supply shocks during the financial crisis: Evidence for the Euro area," Journal of International Money and Finance, Elsevier, vol. 31(3), pages 569-592.
    3. Jefferson Martínez & Gabriel Rodríguez, 2020. "Macroeconomic Effects of Loan Supply Shocks: Empirical Evidence for Peru," Documentos de Trabajo / Working Papers 2020-483, Departamento de Economía - Pontificia Universidad Católica del Perú.
    4. Par Osterholm, 2008. "A structural Bayesian VAR for model-based fan charts," Applied Economics, Taylor & Francis Journals, vol. 40(12), pages 1557-1569.

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