Financial Stress and Economic Activity

Yıl 2008, Cilt: 2 Sayı: 2, 11 - 24, 01.12.2008

Stijn Claessens M. Ayhan Köse Marco E. Terrones

Öz

This paper briefly summarizes the results presented in Claessens, Köse and Terrones (2008a, 2008b) to provide a set of basic stylized facts about the linkages between macroeconomic and financial variables during recessions and episodes of financial stress, including the periods of credit crunches and asset (house and equity) price busts. The analysis employs a comprehensive database of key macroeconomic and financial variables for 21 OECD countries over the 1960-2007 period. The results indicate that recessions following periods of financial
stress are often longer and deeper than other recessions are. The paper concludes with a short discussion of the implications of its findings for the current crisis. 

Anahtar Kelimeler

Financial Stress, Economic Activity, Business Cycles

Özet - Finansal Stres ve Ekonomik Aktivite

Öz

Anahtar Kelimeler

Finansal Stres Dönemleri, Ekonomik Aktivite, İş Çevrimleri

Kaynakça

• Claessens, S., Köse, M. A., and Terrones, M. E., (2008a), “What Happens During Recessions, Crunches and Busts?” Forthcoming IMF Working Paper. (Washington: International Monetary Fund).
• Harding, D. and Pagan, A., (2002), “Dissecting the Cycle: A Methodological Investigation”, Journal of Monetary Economics 49, 365-381.
• Kashyap, A.K. and Stein, J.C., (2000), “What Do a Million Observations on Banks Say about the Transmission of Monetary Policy?,” American Economic Review, 90, June 2000, 407-428.
• Kiyotaki, N., and Moore, J., (1997), Credit Cycles, Journal of Political Economy 105, 211–248.
• Köse, M. A., Otrok, C. and Whiteman, C., (2008), “Understanding the Evolution of World Business Cycles,” Journal of International Economics, Vol. 75, 110-130.
• Köse, M. A., Prasad, E.S. and Terrones,M.E., (2003), “How Does Globalization Affect the Synchronization of Business Cycles?” American Economic Review, P&P, Vol. 93, 57–62.
• Myers, S., and Majluf, N., (1984), “Corporate Financing and Investment Decisions When Firms Have Information That Investors Do Not Have”, Journal of Financial Economics 13, 187-221.
• Pagan, A. and Sossounov, K., (2003), “A Simple Framework for Analyzing Bull and Bear Markets,” Journal of Applied Econometrics 18, 23-46.
• Stock, J.H. and Watson, M. W., (2003) “Has the Business Cycle Changed?,” Proceedings, Federal Reserve Bank of Kansas City, pages 9-56.
• Terrones, M.E., (2004), “The Global House Price Boom,” IMF World Economic Outlook, September, 71-136. (Washington: International Monetary Fund).
• Tirole, J., (2006), The Theory of Corporate Finance, Princeton University Press.
• Townsend, R., (1979), “Optimal Contracts and Competitive Markets with Costly State Verification”, Journal of Economic Theory 21, 265-293.