Systemic crises and growth

• 成果类型: Article
• 署名作者: Ranciere, Romain; Tornell, Aaron; Westermann, Frank
• 署名单位: International Monetary Fund; Paris School of Economics; University of California System; University of California Los Angeles; National Bureau of Economic Research; University Osnabruck
• 刊物名称: QUARTERLY JOURNAL OF ECONOMICS
• ISSN/ISSBN: 0033-5533
• DOI: 10.1162/qjec.2008.123.1.359
• 发表日期: 2008
• 页码: 359-406
• 关键词: volatility; skewness; cycles; boom

摘要

Countries that have experienced occasional financial crises have, on average, grown faster than countries with stable financial conditions. Because financial crises are realizations of downside risk, we measure their incidence by the skewness of credit growth. Unlike variance, negative skewness isolates the impact of the large, infrequent, and abrupt credit busts associated with crises. We find a robust negative link between skewness and GDP growth in a large sample of countries over 1960-2000. This suggests a positive effect of systemic risk on growth. To explain this finding, we present a model in which contract enforceability problems generate borrowing constraints and impede growth. In financially liberalized economies with moderate contract enforceability, systemic risk taking is encouraged and increases investment. This leads to higher mean growth but also to greater incidence of crises. In the data, the link between skewness and growth is indeed strongest in such economies.