How Credit Cycles across a Financial Crisis

• 成果类型: Article
• 署名作者: Krishnamurthy, Arvind; Muir, Tyler
• 署名单位: Stanford University; National Bureau of Economic Research; University of California System; University of California Los Angeles
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.13431
• 发表日期: 2025
• 页码: 1339-1378
• 关键词: business-cycle; monetary-policy; MODEL; Recoveries; QUALITY; booms

摘要

We analyze the behavior of credit and output in financial crises using data on credit spreads and credit growth. Crises are marked by a sharp rise in credit spreads, signaling sudden shifts in expectations. The severity of a crisis can be predicted by the extent of credit losses (spread increases) and financial sector fragility (precrisis credit growth). This interaction is a key feature of crises. Postcrisis recessions are typically severe and prolonged. Notably, precrisis spreads tend to drop to low levels while credit growth accelerates, indicating that credit supply expansions often precede crises. The 2008 crisis aligns with these patterns.