Determinants of US Financial fragility conditions

Fabio Bagliano and Claudio Morana

No 224, Working Papers from University of Milano-Bicocca, Department of Economics

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% 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.

Keywords: inancial 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)
Pages: 42
Date: 2013-02, Revised 2013-02
New Economics Papers: this item is included in nep-dev, nep-lab and nep-mig
References: View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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http://repec.dems.unimib.it/repec/pdf/mibwpaper224.pdf First version, 2013 (application/pdf)

Related works:
Journal Article: Determinants of US financial fragility conditions (2014)
Working Paper: Determinants of US financial fragility conditions (2012)
Working Paper: Determinants of US financial fragility conditions (2012)
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