In this paper, we investigate the dynamic link between the scarcity of housing collateral and economic recessions in the US. At first, we use vector error-correction models to identify negative transitory shocks to collateralizable housing wealth, which are used as proxies of housing collateral...

In this paper, we investigate the dynamic link between recessions and stock market liquidity by examining the predictive content of illiquidity for US recessions. After controlling for other commonly featured recession predictors such as term spreads and credit spreads, we find that the...