Predictable Financial Crises

• 成果类型: Article
• 署名作者: Greenwood, Robin; Hanson, Samuel G.; Shleifer, Andrei; Sorensen, Jakob Ahm
• 署名单位: Harvard University; National Bureau of Economic Research; Harvard University; Copenhagen Business School
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.13105
• 发表日期: 2022
• 页码: 863-921
• 关键词: business-cycle; monetary-policy; liquidity trap; debt; heteroskedasticity; hypothesis; crash

摘要

Using historical data on postwar financial crises around the world, we show that the combination of rapid credit and asset price growth over the prior three years, whether in the nonfinancial business or the household sector, is associated with a 40% probability of entering a financial crisis within the next three years. This compares with a roughly 7% probability in normal times, when neither credit nor asset price growth is elevated. Our evidence challenges the view that financial crises are unpredictable bolts from the sky and supports the Kindleberger-Minsky view that crises are the byproduct of predictable, boom-bust credit cycles. This predictability favors policies that lean against incipient credit-market booms.