Macrofinancial History and the New Business Cycle Facts

Oscar Jorda, Moritz Schularick and Alan Taylor

NBER Macroeconomics Annual, 2017, vol. 31, issue 1, 213 - 263

Abstract: In advanced economies, a century-long, near-stable ratio of credit to GDP gave way to rapid financialization and surging leverage in the last forty years. This "financial hockey stick" coincides with shifts in foundational macroeconomic relationships beyond the widely noted return of macroeconomic fragility and crisis risk. Leverage is correlated with central business cycle moments, which we can document thanks to a decade-long international and historical data collection effort. More financialized economies exhibit somewhat less real volatility, but also lower growth, more tail risk, as well as tighter real-real and real-financial correlations. International real and financial cycles also cohere more strongly. The new stylized facts that we discover should prove fertile ground for the development of a new generation of macroeconomic models with a prominent role for financial factors.

Date: 2017
References: Add references at CitEc
Citations: View citations in EconPapers (282)

Downloads: (external link)
http://dx.doi.org/10.1086/690241 (application/pdf)
http://dx.doi.org/10.1086/690241 (text/html)
Access to the online full text or PDF requires a subscription.

Related works:
Chapter: Macrofinancial History and the New Business Cycle Facts (2016)
Working Paper: Macrofinancial History and the New Business Cycle Facts (2016)
Working Paper: Macrofinancial History and the New Business Cycle Facts (2016)
Working Paper: Macrofinancial History and the New Business Cycle Facts (2016)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ucp:macann:doi:10.1086/690241

Access Statistics for this article

More articles in NBER Macroeconomics Annual from University of Chicago Press
Bibliographic data for series maintained by Journals Division ().