The Great Depression and the Great Recession: A view from financial markets

• 成果类型: Article
• 署名作者: Bianchi, Francesco
• 署名单位: Duke University; National Bureau of Economic Research; Duke University; Center for Economic & Policy Research (CEPR)
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2019.03.010
• 发表日期: 2020
• 页码: 240-261
• 关键词: Monetary and fiscal policies; COORDINATION; Emergency budget; Markov-switching models; Liquidity traps welfare; uncertainty

摘要

Similarities between the Great Depression and the Great Recession are documented with respect to the behavior of financial markets. A Great Depression regime is identified by using a Markov-switching VAR. The probability of this regime has remained close to zero for many decades, but spiked for a short period during the most recent financial crisis, the Great Recession. The Great Depression regime implies a collapse of the stock market, with small-growth stocks outperforming small-value stocks. A model with financial frictions and uncertainty about policy makers' intervention suggests that policy intervention during the Great Recession might have avoided a second Great Depression. A multi-country analysis shows that the Great Depression and Great Recession were not like any other financial crises. (c) 2019 Elsevier B.V. All rights reserved.