Determinants of US financial fragility conditions
The 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 (40–50%), over both short- and long-term horizons, as well as to oil-supply shocks in the long-term (25%). Overall, differently from financial shocks, macroeconomic disturbances have generally had a stabilizing effect.
Volume (Year): 30 (2014)
Issue (Month): C ()
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References listed on IDEAS
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