Credit, default, financial system and development

Abstract

Abstract We address instrumentalized co-movements across time and frequencies between macro-finance variables and household decisions in terms of consumer loans, home mortgage and its respective delinquency rates in U.S. Methodologically, we use partial wavelet coherency, partial phase-difference diagram and partial regression coefficient. We provide insights to stock market return prediction and asset pricing puzzles. Our findings are useful to draw public policies to safeguard financial stability and to analyze financial crisis drivers. The simultaneous variation of statistics along time and frequencies allow us to detect new stylized facts about the last three decades of U.S. financial development and economic growth.