This paper exploits a quarterly panel data set for 16 OECD countries over the period 1975q1–2013q2 to explore the importance of house prices and credit in affecting the likelihood of a financial crisis. Estimating a set of multivariate logit models, we find that booms in credit to both...

How did pricing for mortgage credit risk change during the years prior to the 2008 financial crisis? Using a database from a major American bank that served as trustee for private-label mortgage-backed securitized (PLS) loans, this paper identifies a decline in credit spreads on mortgages...

Despite the fact that the Panic of 1825 was arguably Britain's most severe economic crisis of the first half of the nineteenth century, many of the subsequent explanations of its causes have been briefly-stated and incomplete. The goal of this paper is to clarify and deepen the credit expansion...

News media plays an important role in modern financial markets. In this paper, we analyse the role played by the news media in an historical financial market. Using The Times's coverage of companies listed on the London stock market between 1825 and 1870, we examine the determinants of media...

This study identifies five distinctive stages of the current global financial crisis: the meltdown of the subprime mortgage market, spillovers into broader credit market, the liquidity crisis epitomized by the fallout of Northern Rock, Bear Stearns with contagion effects on other financial...

We use a Diamond/Dybvig-based model with two banks operating in separate regions connected by a common asset market in which banks and sophisticated depositors invest. We study the effect of a potential run (crisis) and subsequent fire sales on the asset price in both the crisis and no-crisis...