Credit crises, money and contractions: An historical view

• 成果类型: Article; Proceedings Paper
• 署名作者: Bordo, Michael D.; Haubrich, Joseph G.
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - Cleveland; National Bureau of Economic Research; Rutgers University System; Rutgers University New Brunswick
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2009.10.015
• 发表日期: 2010
• 页码: 1-18
• 关键词: credit; monetary policy; business cycles

摘要

The relatively infrequent nature of major credit distress events makes an historical approach particularly useful. Using a combination of historical narrative and econometric techniques, we identify major periods of credit distress from 1875 to 2007, examine the extent to which credit distress arises as part of the transmission of monetary policy, and document the subsequent effect on output. Using turning points defined by the Harding-Pagan algorithm, we identify and compare the timing, duration, amplitude and co-movement of cycles in money, credit and output. Regressions show that financial distress events exacerbate business cycle downturns both in the 19th and 20th centuries and that a confluence of such events makes recessions even worse. (C) 2009 Elsevier B.V. All rights reserved.