UNCERTAINTY AS A PROPAGATING FORCE IN THE GREAT-DEPRESSION

• 成果类型: Article
• 署名作者: Providence College
• 刊物名称: JOURNAL OF ECONOMIC HISTORY
• ISSN/ISSBN: 0022-0507
• DOI: 10.1017/S0022050700015503
• 发表日期: 1994
• 页码: 825-849
• 关键词: term-structure; stock-market; INVESTMENT; deflation; onset; crash

摘要

This article argues that the banking crises and collapse of the international gold standard in the early 1930s contributed to the severity of the Great Depression by increasing interest-rate uncertainty. Two pieces of evidence support this conclusion. First, uncertainty (as measured by the risk premium embedded in the term structure of interest rates) rises during the banking crises and is positively linked to financial-market volatilty associated with the breakdown in the gold standard. Second, the risk premium explains a significant proportion of the variation in aggregate investment spending during the Great Depression.