Determinants of US financial fragility conditions

Fabio Bagliano and Claudio Morana

Research in International Business and Finance, 2014, vol. 30, issue C, 377-392

Abstract: 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.

Keywords: Financial fragility; US; Macro–finance interface; International business cycle; Factor vector autoregressive models; Financial crisis; Great Recession (search for similar items in EconPapers)
JEL-codes: C22 E32 G12 (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (20)

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Related works:
Working Paper: Determinants of US Financial fragility conditions (2013)
Working Paper: Determinants of US financial fragility conditions (2012)
Working Paper: Determinants of US financial fragility conditions (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:30:y:2014:i:c:p:377-392

DOI: 10.1016/j.ribaf.2012.08.003

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