Determinants of US Financial fragility conditions
AbstractThe recent financial crisis has highlighted the fragility of the US financial system under several respects. In this paper, the properties of a summary index of financial fragility, timely capturing changes in credit and liquidity risk, distress in the mortgage market, and corporate default risk, is investigated over the 1986-2010 period. We find that observed fluctuations in the financial fragility index can be attributed to identified (global and domestic) macroeconomic (20%) and financial disturbances (40% to 50%), over both short- and long-term horizons, as well as to oil-supply shocks in the long-term (25%). Over-all, differently from financial shocks, macroeconomic disturbances have generally had a stabilizing effect.
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Bibliographic InfoPaper provided by University of Milano-Bicocca, Department of Economics in its series Working Papers with number 224.
Date of creation: Feb 2013
Date of revision: Feb 2013
inancial fragility; US; macro-finance interface; international business cycle; factor vector autoregressive models; financial crisis; Great Recession;
Other versions of this item:
- Fabio C. Bagliano & Claudio Morana, 2012. "Determinants of US financial fragility conditions," Working papers 011, Department of Economics and Statistics (Dipartimento di Scienze Economico-Sociali e Matematico-Statistiche), University of Torino.
- Fabio Bagliano & Claudio Morana, 2012. "Determinants of US financial fragility conditions," CeRP Working Papers 128, Center for Research on Pensions and Welfare Policies, Turin (Italy).
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-07-08 (All new papers)
- NEP-DEV-2012-07-08 (Development)
- NEP-LAB-2012-07-08 (Labour Economics)
- NEP-MIG-2012-07-08 (Economics of Human Migration)
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