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What Happens During Recessions, Crunches and Busts?

Marco Terrones (), Ayhan Kose and Stijn Claessens ()

No 08/274, IMF Working Papers from International Monetary Fund

Abstract: 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. JEL Classification Numbers: E32; E44; E51; F42

Keywords: Economic models; Economic recession; Financial crisis; Equity prices; Business cycles; Databases; Recessions; Oil prices; Housing prices; Stock prices; credit crunches, house prices, busts, recession, business cycle, (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cba, nep-fdg and nep-mac
Date: 2008-12-01
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Journal Article: What happens during recessions, crunches and busts? (2009) Downloads
Working Paper: What Happens During Recessions, Crunches and Busts? (2008) Downloads
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