The Impact of Risk Cycles on Business Cycles: A Historical View

• 成果类型: Article
• 署名作者: Danielsson, Jon; Valenzuela, Marcela; Zer, Ilknur
• 署名单位: University of London; London School Economics & Political Science; Pontificia Universidad Catolica de Chile; Federal Reserve System - USA; Federal Reserve System Board of Governors
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhac091
• 发表日期: 2023
• 页码: 2922
• 关键词: monetary-policy; leverage cycles; time-series; STOCK; volatility; liquidity; news; uncertainty; prices; shocks

摘要

We investigate the effects of financial risk cycles on business cycles, using a panel spanning 73 countries since 1900. Agents use a Bayesian learning model to form their beliefs about risk. We construct a proxy of these beliefs and show that perceived low risk encourages risk-taking, augmenting growth at the cost of accumulating financial vulnerabilities, and, therefore, a reversal in growth follows. The reversal is particularly pronounced when the low-risk environment persists and credit growth is excessive. Global risk cycles have a stronger effect on growth than local risk cycles via their impact on capital flows, investment, and debt-issuer quality.