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  1. Business Cycle and Financial Cycle Spillovers in the G7 Countries

    Antonakakis, Nikolaos; Breitenlechner, Max; Scharler, Johann
    In this study we examine the dynamic interactions between credit growth and output growth using the spillover index approach of Diebold and Yilmaz (2012). Based on quarterly data on credit growth and GDP growth over the period 1957Q1 -2012Q4 for the G7 countries we find that: (i) spillovers between credit growth and GDP growth evolve rather heterogeneously over time and across countries, and increase during extreme economic events. (ii) Spillovers between credit growth and GDP growth are of bidirectional nature, indicating bidirectional spillovers of shocks between the financial and the real sector. (iii) In the period shortly before and during the...
    (application/pdf) - 18-oct-2016

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