Authors
Stijn Claessens, M Ayhan Kose, Marco E Terrones
Publication date
2009/10/1
Journal
Economic Policy
Volume
24
Issue
60
Pages
653-700
Publisher
Oxford University Press
Description
We provide a comprehensive empirical characterization of the linkages between key macroeconomic and financial variables around business and financial cycles, for 21 OECD countries over the period 1960–2007. In particular, we analyse the implications of 122 recessions, 113 (28) credit contraction (crunch) episodes, 114 (28) episodes of house price declines (busts), 245 (61) episodes of equity price declines (busts), and their various overlaps in these countries, over the sample period. Our results indicate that the interactions between macroeconomic and financial variables can play a major role in determining the severity and duration of a recession. Specifically, we find evidence that recessions associated with credit crunches and house price busts tend to be deeper and longer than other recessions.
— Stijn Claessens, M. Ayhan Kose and Marco E. Terrones
Total citations
Scholar articles
S Claessens, MA Kose, ME Terrones - Economic Policy, 2009