Learning from History: Volatility and Financial Crises

• 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; Universidad 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/hhy049
• 发表日期: 2018
• 页码: 2774
• 关键词: STOCK-MARKET VOLATILITY; POLICY; crash; MODEL; recessions; returns; cycles

摘要

We study the effects of stock market volatility on risk-taking and financial crises by constructing a cross-country database spanning up to 211 years and across 60 countries. Prolonged periods of low volatility have strong in-sample and out-of-sample predictive power over the incidence of banking crises and can be used as a reliable crisis indicator, whereas volatility itself does not predict crises. Low volatility leads to excessive credit buildups and balance sheet leverage in the financial system, indicating that agents take more risk in periods of low risk, supporting the dictum that stability is destabilizing.