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Market sentiment, financial fragility, and economic activity : the role of corporate securities issuance
Dieckelmann, Daniel - 2021
Using new quarterly U.S. data for the past 120 years, I show that sudden reversals in equity and credit market sentiment approximated by several measures of corporate securities issuance are highly predictive of banking crises and recessions. Deviations in equity issuance from historical...
Persistent link: https://www.econbiz.de/10012431742
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Business cycle dynamics after the Great Recession : an extended Markov-Switching dynamic factor model
Doz, Catherine; Ferrara, Laurent; Pionnier, Pierre-Alain - 2020
need for macroeconomic forecasters to account for sudden and deep recessions, periods of higher macroeconomic volatility … Factor Model (MS-DFM) by incorporating two new features: switches in volatility and time-variation in trend GDP growth. First …, we show that volatility switches largely improve the detection of business cycle turning points in the low-volatility …
Persistent link: https://www.econbiz.de/10012227436
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Interbank Networks and the Interregional Transmission of Financial Crises : Evidence from the Panic of 1907
Jaremski, Matthew S.; Wheelock, David C. - National Bureau of Economic Research - 2023
This paper provides quantitative evidence on interbank transmission of financial distress in the Panic of 1907 and ensuing recession. Originating in New York City, the panic led to payment suspensions and emergency currency issuance in many cities. Data on the universe of interbank connections...
Persistent link: https://www.econbiz.de/10014287370
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Banking and Financial Crises in United States History : What Guidance can History Offer Policymakers?
Tallman, Ellis W. - 2010
This paper assesses the validity of comparisons between the current financial crisis and past crises in the United States. We highlight aspects of two National Banking Era crises (the Panic of 1873 and the Panic of 1907) that are relevant for comparison with the Panic of 2008. In 1873,...
Persistent link: https://www.econbiz.de/10013139392
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Business Cycles and Financial Crises : The Roles of Credit Supply and Demand Shocks
Nason, James M. - 2016
intertemporal price. The model space is limited to stochastic volatility (SV) in the errors of the MS-BVARs. Of the 15 MS …
Persistent link: https://www.econbiz.de/10013007877
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Business Cycles and Financial Crises : The Roles of Credit Supply and Demand Shocks
Nason, James Michael - 2013
intertemporal price. The model space is limited to stochastic volatility (SV) in the errors of the MS-BVARs. Of the 15 MS …
Persistent link: https://www.econbiz.de/10013078965
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Accelerating into the Abyss : Financial Dependence and the Great Depression
Mladjan, Mrdjan - 2019
This paper gives new evidence for the importance of bank suspensions during the Great Depression. I establish that more financially dependent manufacturing industries exhibited steeper declines in output relative to peers. This differential is largest in states that were most affected by banking...
Persistent link: https://www.econbiz.de/10012905100
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Business cycle dynamics after the Great Recession : an extended Markov-Switching Dynamic Factor Model
Doz, Catherine; Ferrara, Laurent; Pionnier, Pierre-Alain - 2020
Persistent link: https://www.econbiz.de/10012244551
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Global financial cycles since 1880
Potjagailo, Galina; Wolters, Maik H. - In: Journal of international money and finance 131 (2023), pp. 1-13
Persistent link: https://www.econbiz.de/10014248868
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Dissecting the financial cycle with dynamic factor models
Menden, Christian; Proano, Christian - 2017
The analysis of the financial cycle and its interaction with the macroeconomy has become a central issue for the design of macroprudential policy since the 2007-08 financial crisis. This paper proposes the construction of financial cycle measures for the US based on a large data set of...
Persistent link: https://www.econbiz.de/10011663432