We study the relationship between credit expansions, macroeconomic fluctuations, and financial crises using a novel database on the sectoral distribution of private credit for 117 countries since 1940. We document that, during credit booms, credit flows disproportionately to the non-tradable...

The paper reports estimation results and technical details on the estimation of financial cycles for a global sample of 34 advanced and developing countries over the period 1960Q1-2015Q4, as well as introduces a database of financial cycles. We estimate several versions of financial cycles for...

There is a general acceptance of the fact that a significant direct relationship between financial markets and macroeconomic variables exists, especially by considering the assertion that developed financial markets correspond to high GDP levels. This paper provides an investigation of the...

Recent academic research predicts that (i) equity mutual funds have a systematically better performance during periods of economic downturn and (ii) investors are willing to pay high fees for funds that provide recession insurance. In this paper, we test these hypotheses using international fund...

The present study is centered primarily on determining whether the German banking system is to be characterized by procyclical behavior from 2000 to 2011 and to what extent specific sectors of the German banking system showed significant balance sheet operations to increase their leverage within...

This paper introduces a new methodology to date systemic financial stress events in a transparent, objective and reproducible way. The financial cycle is captured by a monthly country-specific financial stress index. Based on a Markov-switching model, high financial stress regimes are...

The fallout from the 2008 financial crisis has been particularly acute in the euro area Member States of the south-western rim and in the new EU Member States, due to their previously accumulated macroeconomic and financial imbalances. The perception that the euro environment provided a solid...

This paper (i) provides evidence on the procyclical investment behavior of major institutional investors during the global financial crisis; (ii) identifies the main factors that could account for such behavior; (iii) discusses the implications of procyclical behavior; and (iv) proposes a...

We undertake a large-scale empirical examination of systemic risk among 1048 financial institutions in a large sample of 23 emerging markets, broken down into 5 regions. This work extends the large literature on systemic risk in the US, Europe, and other developed countries to emerging markets,...

In this paper, we examine how Value at Risk (VaR) contributes to the financial market's stability. We apply the Guidelines on Risk Measurement and the Calculation of Global Exposure and Counterparty Risk for UCITS of the Committee of European Securities Regulators (CESR (2010)) to the main...