Macroeconomic effects of household debt: an empirical analysis

被引：19
|
作者：
Kim, Yun K. [1 ]
机构：
[1] Univ Massachusetts, Dept Econ, Boston, MA 02125 USA
来源：
REVIEW OF KEYNESIAN ECONOMICS | 2016年 / 4卷 / 02期
关键词：
household debt; business cycles; financial instability hypothesis; cointegration; VAR; VECM; NUMERICAL DISTRIBUTION-FUNCTIONS; FINANCIAL RELATIONS; LONGER WAVES; DEMAND;
D O I：
10.4337/roke.2016.02.01
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
Multi-equation econometric frameworks are used to investigate the impact of household debt on GDP in the US. In the vector autoregression analysis capturing the transitory feedback effects, we observe a bidirectional positive feedback process between aggregate income and debt. According to the estimation of vector error correction models, there are negative long-run relationships between household debt and output. These empirical results provide a support for the view of the debt-driven business cycles.
引用
收藏
页码：127 / 150
页数：24
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