It ain't over till it's over: A global perspective on the Great Moderation-Great Recession interconnection

Fabio Bagliano and Claudio Morana

No 31, Working papers from Department of Economics, Social Studies, Applied Mathematics and Statistics (Dipartimento di Scienze Economico-Sociali e Matematico-Statistiche), University of Torino

Abstract: A large-scale model of the global economy is used to investigate the structural determinants of the Great Moderation and the transition to the Great Recession (1986-2010). Beside the global economy perspective, the model presents the novel feature of a broad range of included financial variables and risk factors measures. The results point to the relevance of various mechanisms related to the global monetary policy stance (Great Deviation), financial institutions' risk taking behavior (Great Leveraging) and global imbalances (savings glut), in shaping aggregate fluctuations. The paper finally contributes to the literature on early warning indicators, assessing the information content of risk factor innovations for the prediction of the timing and depth of the Great Recession.

Keywords: Great Moderation, Great Recession, risk factors, early warning system, macro-financial instability; FAVAR models. (search for similar items in EconPapers)
JEL-codes: C22 E32 E44 G01 G15 (search for similar items in EconPapers)
Pages: 75 pages
Date: 2015-07
New Economics Papers: this item is included in nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

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http://www.bemservizi.unito.it/repec/tur/wpapnw/m31.pdf First version, 2015 (application/pdf)

Related works:
Journal Article: It ain’t over till it’s over: A global perspective on the Great Moderation-Great Recession interconnection (2017)
Working Paper: It ain'?t over till it'?s over: A global perspective on the Great Moderation-Great Recession interconnection (2015)
Working Paper: It ain't over till it's over: A global perspective on the Great Moderation-Great Recession interconnection (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:tur:wpapnw:031

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