Asset Prices and Credit with Diagnostic Expectations
Using long-run cross-country panel data, we document that (i) contemporaneous credit growth strongly predicts contemporaneous equity returns with positive sign, and (ii) lagged …
Oscar Jorda
State-Dependent Local Projections: Understanding Impulse Response Heterogeneity
An impulse response is the dynamic average effect of an intervention across horizons. We use the well-known Kitagawa-Blinder-Oaxaca decomposition to explore a response’s …
james-cloyne