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What Happens During Recessions, Crunches and Busts?
Author:
Mr. Marco Terrones
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Mr. Ayhan Kose
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Mr. Stijn Claessens
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Series:
IMF Working Papers
Volume/Issue:
Volume 2008: Issue 274
Language:
English
Publication Date:
01 Dec 2008
DOI:
https://doi.org/10.5089/9781451871326.001
ISBN:
9781451871326
ISSN:
1018-5941
Pages:
75
Keywords:
WP; price bust; equity price; house price; recession episode; asset price; credit contraction
Legal-disclaimer:
IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management.
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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
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Cover IMF Working Papers
IMF Working Papers
ISSN:
1018-5941
Publisher:
International Monetary Fund