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Financial Stress and Economic Activity

Author Info

Listed author(s):
  • Stijn Claessens
  • M.Ayhan Köse
  • Marco E.Terrones

Abstract

This paper briefly summarizes the results presented in Claessens, Köse and Terrones (2008a, 2008b) to provide a set of basic stylized facts about the linkages between macroeconomic and financial variables during recessions and episodes of financial stress, including the periods of credit crunches and asset (house and equity) price busts. The analysis employs a comprehensive database of key macroeconomic and financial variables for 21 OECD countries over the 1960-2007 period. The results indicate that recessions following periods of financial stress are often longer and deeper than other recessions are. The paper concludes with a short discussion of the implications of its findings for the current crisis

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Article provided by Banking Regulation and Supervision Agency in its journal Journal of Banking and Financial Markets.

Volume (Year): 2 (2008)
Issue (Month): 2 ()
Pages: 11-24

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Handle: RePEc:bdd:journl:v:2:y:2008:i:2:p:11-24
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More information through EDIRC

Keywords: Financial Stress; Economic Activity; Business Cycles;

Find related papers by JEL classification:

  • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
  • E51 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Money Supply; Credit; Money Multipliers
  • F42 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - International Policy Coordination and Transmission

References listed on IDEAS
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  1. Jeremy C. Stein & Anil K. Kashyap, 2000. "What Do a Million Observations on Banks Say about the Transmission of Monetary Policy?," American Economic Review, American Economic Association, vol. 90(3), pages 407-428, June.
  2. Ayhan Kose, M. & Otrok, Christopher & Whiteman, Charles H., 2008. "Understanding the evolution of world business cycles," Journal of International Economics, Elsevier, vol. 75(1), pages 110-130, May.
  3. M. Ayhan Kose & Eswar S. Prasad & Marco E. Terrones, 2003. "How Does Globalization Affect the Synchronization of Business Cycles?," American Economic Review, American Economic Association, vol. 93(2), pages 57-62, May.
  4. Greenwald, Bruce & Stiglitz, Joseph E & Weiss, Andrew, 1984. "Informational Imperfections in the Capital Market and Macroeconomic Fluctuations," American Economic Review, American Economic Association, vol. 74(2), pages 194-199, May.
  5. Bernanke, Ben & Gertler, Mark & Gilchrist, Simon, 1996. "The Financial Accelerator and the Flight to Quality," The Review of Economics and Statistics, MIT Press, vol. 78(1), pages 1-15, February.
  6. Harding, Don & Pagan, Adrian, 2002. "Dissecting the cycle: a methodological investigation," Journal of Monetary Economics, Elsevier, vol. 49(2), pages 365-381, March.
  7. Stijn Claessens & M. Ayhan Kose & Marco E. Terrones, 2009. "What happens during recessions, crunches and busts?," Economic Policy, CEPR;CES;MSH, vol. 24, pages 653-700, October.
  8. Bernanke, Ben & Gertler, Mark, 1989. "Agency Costs, Net Worth, and Business Fluctuations," American Economic Review, American Economic Association, vol. 79(1), pages 14-31, March.
  9. Adrian R. Pagan & Kirill A. Sossounov, 2003. "A simple framework for analysing bull and bear markets," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(1), pages 23-46.
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Cited by:

  1. Cevik, Emrah I. & Dibooglu, Sel & Kenc, Turalay, 2016. "Financial stress and economic activity in some emerging Asian economies," Research in International Business and Finance, Elsevier, vol. 36(C), pages 127-139.
  2. Didem Gunes & Ferhat Camlica, 2016. "Financial Stress and Economic Activity : A Threshold VAR Analysis for Turkey," CBT Research Notes in Economics 1628, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
  3. Cevik, Emrah Ismail & Dibooglu, Sel & Kutan, Ali M., 2013. "Measuring financial stress in transition economies," Journal of Financial Stability, Elsevier, vol. 9(4), pages 597-611.
  4. Chau, Frankie & Deesomsak, Rataporn, 2014. "Does linkage fuel the fire? The transmission of financial stress across the markets," International Review of Financial Analysis, Elsevier, vol. 36(C), pages 57-70.
  5. Cevik, Emrah Ismail & Dibooglu, Sel & Kenc, Turalay, 2013. "Measuring financial stress in Turkey," Journal of Policy Modeling, Elsevier, vol. 35(2), pages 370-383.
  6. repec:eco:journ1:2017-02-31 is not listed on IDEAS

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