| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w23850 |
| 来源ID | Working Paper 23850 |
| How Credit Cycles across a Financial Crisis | |
| Arvind Krishnamurthy; Tyler Muir | |
| 发表日期 | 2017-09-25 |
| 出版年 | 2017 |
| 语种 | 英语 |
| 摘要 | We study the behavior of credit and output across a financial crisis cycle using in- formation from credit spreads and credit growth. We show the transition into a crisis occurs with a large increase in credit spreads, indicating that crises involve a dramatic shift in expectations and are a surprise. The severity of the subsequent crisis can be forecast by the size of credit losses (change in spreads) coupled with the fragility of the financial sector (as measured by pre-crisis credit growth), and we document that this interaction is an important feature of crises. We also find that recessions in the aftermath of financial crises are severe and protracted. Finally, we find that spreads fall pre-crisis and appear too low, even as credit grows ahead of a crisis. This behavior of both prices and quantities suggests that credit supply expansions are a precursor to crises. The 2008 financial crisis cycle is in keeping with these historical patterns surrounding financial crises. |
| 主题 | Macroeconomics ; Financial Economics |
| URL | https://www.nber.org/papers/w23850 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/581523 |
| 推荐引用方式 GB/T 7714 | Arvind Krishnamurthy,Tyler Muir. How Credit Cycles across a Financial Crisis. 2017. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w23850.pdf（489KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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