When Credit Bites Back
Tóm tắt
Using data on 14 advanced countries between 1870 and 2008 we document two key facts of the modern business cycle: relative to typical recessions, financial crisis recessions are costlier, and more credit‐intensive expansions tend to be followed by deeper recessions (in financial crises or otherwise) and slower recoveries. We use local projection methods to condition on a broad set of macro‐economic controls to study how past credit accumulation impacts key macro‐economic variables such as output, investment, lending, interest rates, and inflation. The facts that we uncover lend support to the idea that financial factors play an important role in the modern business cycle.
Từ khóa
Tài liệu tham khảo
Adrian Tobias andHyun SongShin. (2012) “Procyclical Leverage and Value‐at‐Risk.” Federal Reserve Bank of New York Staff Reports No. 338.
Backus David, 1992, International Evidence on the Historical Properties of Business Cycles, American Economic Review, 82, 864
Battacharya Sudipto Charles A. E.Goodhart Dimitrios P.Tsomocos andAlexandros P.Vardoulakis. (2011) “Minsky's Financial Instability Hypothesis and the Leverage Cycle.” London School of Economics Financial Markets Group Special Paper 202.
Brunnermeier Markus K. Thomas M.Eisenbach andYuliySannikov. (2012) “Macroeconomics with Financial Frictions: A Survey.” NBER Working Paper No. 18102.
Brunnermeier Markus K., 2012, The Changing Policy Landscape
Bry Gerhard, 1971, Cyclical Analysis of Time Series: Selected Procedures and Computer Programs
Claessens Stijn, 2011, NBER International Seminar on Macroeconomics 2010, 303
2009, Economic Report of the President, January 2009
Friedman Milton, 1963, A Monetary History of the United States: 1867–1960
Howard Greg RobertMartin andBeth AnneWilson. (2011) “Are Recoveries from Banking and Financial Crises Really So Different?” Federal Reserve Board of Governors International Finance Discussion Papers 1037.
IMF. (2010)International Financial Statistics.http://www.imf.org/external/data.htm. (Accessed October 2012).
Kroszner Randall S.(2010) “Implications of the Financial Crisis for the Grand Challenge Questions for the NSF/SBE.”http://www.nsf.gov/sbe/sbe_2020/2020_pdfs/Kroszner_Randall_304.pdf. (Accessed October 2012).
Laeven Luc andFabian V.Valencia. (2008) “Systemic Banking Crises: A New Database.” IMF Working Paper 08/224.
Mendoza Enrique G. andMarcoTerrones. (2008) “An Anatomy of Credit Booms: Evidence From Macro Aggregates and Micro Data.” NBER Working Paper 14049.
Minsky Hyman, 1986, Stabilizing an Unstable Economy
OMB, 2012, Budget of the U.S. Government, Fiscal Year 2013
Pozsar Zoltan TobiasAdrian AdamAshcraft andHayleyBoesky. (2010) “Shadow Banking.” Federal Reserve Bank of New York Staff Reports 458.
Reinhart Carmen M., 2010, Macroeconomic Challenges: The Decade Ahead, 17
Romer Christina D., 1986, Is the Stabilization of the Postwar Economy a Figment of the Data, American Economic Review, 76, 314
Romer Christina D., 1989, NBER Macroeconomics Annual 1989, 121
Teulings Coen N. andNickZubanov. (2010) “Is Economic Recovery a Myth? Robust Estimation of Impulse Responses.” Tinbergen Institute Discussion Paper 040/3.
Tobin James, 1989, Review of Stabilizing an Unstable Economy by Hyman P. Minsky, Journal of Economic Literature, 27, 105
Turner Adair. (2009) “The Financial Crisis and the Future of Financial Regulation.” Text of a speech at The Economist's Inaugural City Lecture January 21.http://www.fsa.gov.uk/library/communication/speeches/2009/0121_at.shtml.
Turner Adair. (2010) “What Do Banks Do What Should They Do and What Public Policies Are Needed to Ensure Best Results for the Real Economy?” Text of a speech at Cass Business School March 17.http://www.fsa.gov.uk/library/communication/speeches/2010/0317_at.shtml.