HOUSEHOLD DEBT AND BUSINESS CYCLES WORLDWIDE

被引:315
作者
Mian, Atif [1 ]
Sufi, Amir
Verner, Emil
机构
[1] Princeton Univ, Princeton, NJ 08544 USA
关键词
LIQUIDITY TRAP; MONETARY-POLICY; CREDIT BOOMS; FLUCTUATIONS; CONSTRAINTS; LEVERAGE; GROWTH; CRISES; COSTS; MODEL;
D O I
10.1093/qje/qjx017
中图分类号
F [经济];
学科分类号
02 ;
摘要
An increase in the household debt to GDP ratio predicts lower GDP growth and higher unemployment in the medium run for an unbalanced panel of 30 countries from 1960 to 2012. Low mortgage spreads are associated with an increase in the household debt to GDP ratio and a decline in subsequent GDP growth, highlighting the importance of credit supply shocks. Economic forecasters systematically over-predict GDP growth at the end of household debt booms, suggesting an important role of flawed expectations formation. The negative relation between the change in household debt to GDP and subsequent output growth is stronger for countries with less flexible exchange rate regimes. We also uncover a global household debt cycle that partly predicts the severity of the global growth slowdown after 2007. Countries with a household debt cycle more correlated with the global household debt cycle experience a sharper decline in growth after an increase in domestic household debt.
引用
收藏
页码:1755 / 1817
页数:63
相关论文
共 74 条
[1]  
Adelino Manuel, 2014, CREDIT SUPPLY HOUSE
[2]  
Agarwal Sumit, 2015, 21567 NBER
[3]   Emerging market business cycles: The cycle is the trend [J].
Aguiar, Mark ;
Gopinath, Gita .
JOURNAL OF POLITICAL ECONOMY, 2007, 115 (01) :69-102
[4]  
[Anonymous], 2012, WORLD EC OUTLOOK
[5]  
[Anonymous], 2011, INTRO ECONOMETRICS
[6]  
[Anonymous], 2007, BIS Q. Rev.
[7]  
[Anonymous], 2015, NBER WORKING PAPERS
[8]   SOME TESTS OF SPECIFICATION FOR PANEL DATA - MONTE-CARLO EVIDENCE AND AN APPLICATION TO EMPLOYMENT EQUATIONS [J].
ARELLANO, M ;
BOND, S .
REVIEW OF ECONOMIC STUDIES, 1991, 58 (02) :277-297
[9]   CREDIT EXPANSION AND NEGLECTED CRASH RISK [J].
Baron, Matthew ;
Xiong, Wei .
QUARTERLY JOURNAL OF ECONOMICS, 2017, 132 (02) :713-764
[10]   Ramsey meets Laibson in the neoclassical growth model [J].
Barro, RJ .
QUARTERLY JOURNAL OF ECONOMICS, 1999, 114 (04) :1125-1152