Financial factors and the propagation of the Great Depression

• 成果类型: Article
• 署名作者: Cortes, Gustavo S.; Taylor, Bryan; Weidenmier, Marc D.
• 署名单位: State University System of Florida; University of Florida; Chapman University System; Chapman University; National Bureau of Economic Research
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2021.08.018
• 发表日期: 2022
• 页码: 577-594
• 关键词: Great depression; Bank stocks; Forward-looking information; Credit channel

摘要

We investigate the role of forward-looking financial factors in propagating the Great Depression. We find that a new hand-collected bank stock index is better at predicting the onset of the Great Depression than the aggregate stock market or failed bank deposits. The bank stock index explains almost one-third of the fluctuations in industrial production after five years. Analysis disaggregated at each Federal Reserve district shows that bank stocks capture forward-looking information about debt defaults and credit. Our results suggest that future studies of the credit channel during the Great Depression should incorporate bank stocks to better identify the impact of credit crunches on economic activity. (C) 2021 Elsevier B.V. All rights reserved.