What Happens During Recessions, Crunches and Busts?
Stijn Claessens (),
Ayhan Kose and
Marco Terrones ()
No 7085, CEPR Discussion Papers from C.E.P.R. Discussion Papers
We provide a comprehensive empirical characterization of the linkages between key macroeconomic and financial variables around business and financial cycles for 21 OECD countries over the period 1960–2007. In particular, we analyze the implications of 122 recessions, 112 (28) credit contraction (crunch) episodes, 114 (28) episodes of house price declines (busts), 234 (58) episodes of equity price declines (busts) and their various overlaps in these countries over the sample period. Our results indicate that interactions between macroeconomic and financial variables can play major roles in determining the severity and duration of recessions. Specifically, we find evidence that recessions associated with credit crunches and house price busts tend to be deeper and longer than other recessions.
Keywords: business cycles; busts; credit crunches; equity prices; house prices; recessions (search for similar items in EconPapers)
JEL-codes: E32 E44 E51 F42 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cba, nep-fdg, nep-mac and nep-opm
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Journal Article: What happens during recessions, crunches and busts? (2009)
Working Paper: What Happens During Recessions, Crunches and Busts? (2008)
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