This study finds that equity returns in the banking sector in the wake of the Great Recession and the European sovereign debt crisis have been driven mainly by weak growth prospects and heightened sovereign risk and to a lesser extent, by deteriorating funding conditions and investor sentiment....

We evaluate the role of financial conditions as predictors of macroeconomic risk first in the quantile regression framework of Adrian et al. (2019b), which allows for non-linearities, and then in a novel linear semi-structural model as proposed by Hasenzagl et al. (2018). We distinguish between...

We study the cyclicality of public R&D in 28 OECD countries (1995-2017). While procyclical on average, public R&D reacts asymmetrically over different phases of the business cycle and becomes acyclical during recessions. It is also heterogeneous across countries: Innovation leaders and followers...

A growing body of literature argues that the financial cycle is considerably longer in duration and larger in amplitude than the business cycle and that its distinguishing features became more pronounced over time. This paper proposes an empirical approach suitable to test these hypotheses. We...

Based on the decline in real GDP growth, many economists now believe that the 'Great Recession', the output contraction the world experienced in 2008–09, is the deepest global economic contraction since the Great Depression. But as real-time real GDP data are typically revised, we investigate...

We propose a nonparametric test that distinguishes “depressions” and “booms” from ordinary recessions and expansions. Depressions and booms are defined as coming from another underlying process than recessions and expansions. We find four depressions and booms in the NBER business cycle...