The Great Recession: US dynamics and spillovers to the world economy

Journal of Banking and Finance

Volumn 36, Issue 1, 2012, Pages 1-13

  Bagliano, Fabio C ^a,b   Morana, Claudio ^b,c,d,e  

^a UNIVERSITY OF TURIN   (Italy)

^b Center for Research on Pensions and Welfare Policies CeRP (Collegio Carlo Alberto)   (Italy)

^c UNIVERSITY OF MILANO BICOCCA   (Italy)

^d International Center of Economic Research (ICER)   (Italy)

^e FONDAZIONE ENI ENRICO MATTEI   (Italy)

Author keywords

Boom bust; Credit cycle; Economic crisis; Factor vector autoregressive models; Financial crisis; Great recession; International business cycle

Indexed keywords

EID: 80655124669     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2011.06.002     Document Type: Article

References (41)

1. Alm J., Follain J.R. Alternative mortgage instruments, the tilt problem, and consumer welfare. Journal of Financial and Quantitative Analysis 1984, 19:113-126.
2. Almunia M., Benetrix A.S., Eichengreen B., O'Rourke K.H., Rua G. From Great Depression to great credit crisis: similarities, differences and lessons. Economic Policy 2010, 62:219-265.
3. Bagliano F.C., Morana C. International macroeconomic dynamics: a factor vector autoregressive approach. Economic Modelling 2009, 26:432-444.
4. Bagliano, F.C., Morana, C., 2010. The Great Recession: US dynamics and spillovers to the world economy. Working Paper, Center for Research on Pensions and Welfare Policies (CeRP). http://cerp.unito.it.
5. Bayoumi, T., Mellander, O., 2008. Credit matters: Empirical evidence on US macro-financial linkages. Working Paper 08/169, International Monetary Fund.
6. Beltratti A., Morana C. International house prices and macroeconomic fluctuations. Journal of Banking and Finance 2010, 34:535-545.
7. Bems, R., Johnson, R.C., Yi, K.-M., 2010. Demand spillovers and the collapse of trade during the great recession. Working Paper 10/142, International Monetary Fund.
8. Berken, P., Gelos, G., Rennhack, R., Walsh, J.P., 2009. The global financial crisis: explaining cross-country differences in the output impact. Working Paper 09/280, International Monetary Fund.
9. Bernanke B. Non monetary effects of the financial crisis in the propagation mechanism of the Great Depression. American Economic Review 1983, 73:257-276.
10. Bordo, M.D., James, H., 2009. The Great Depression analogy. Working Paper 15584, National Bureau of Economic Research.
11. Bordo, M.D., Landon-Lane, J., 2010. The lessons from the banking panics in the United States in the 1930s for the financial crisis of 2007-2008. Working Paper 16365, National Bureau of Economic Research.
12. Borio, C., 2008. The financial turmoil of 2007-?: a preliminary assessment and some policy considerations. Working Paper 251, Bank for International Settlements.
13. Buiter, W.H., 2009. The limits to fiscal stimulus. Discussion Paper 7607, Centre for Economic Policy Research.
14. Carrol, C.D., Otsuka, M., Slacalek, J., 2006. How large is the housing wealth effect? A new approach. NBER Working Paper Series, No. 12746.
15. Case K.E., Quigley J.M., Shiller R.J. Comparing wealth effects: The stock market versus the housing market. Advances in Macroeconomics 2005, 5:1-33.
16. Chirinko, R.S., de Han, L., Sterken, E., 2004. Asset price shocks, real expenditures, and financial structure: a multicountry analysis, De Nederlansche Bank. Working Paper No. 14/04.
17. Claessens S., Kose M.A., Terrones M.E. What happens during recessions, crunches and busts?. Economic Policy 2009, 60:653-700.
18. Dees, S., Pesaran, M.H., Smith, L.V., Smith, R.P., 2010. Supply, demand and monetary policy shocks in a multi-country New Keynesian model. Working Paper 1239, European Central Bank.
19. Dell'Ariccia G., Detragiache E., Rajan R. The real effects of banking crises. Journal of Financial Intermediation 2008, 17:89-112.
20. Dominik M. A compound option approach to model the interrelation between banking crises and country defaults: the case of Hungary 2008. Journal of Banking and Finance 2010, 34:3025-3036.
21. Dooley M., Hutchison M. Transmission of the US subprime crisis to emerging markets: evidence on the decoupling-recoupling hypothesis. Journal of International Money and Finance 2009, 28:1331-1349.
22. Eichengreen B., Mitchener K. The Great Depression as a credit boom gone wrong. Research in Economic History 2004, 22:183-237.
23. Galesi A, Sgherri, S., 2009. Regional financial spillovers across Europe: a global VAR analysis. Working Paper 09/23, International Monetary Fund.
24. Gallant R. The Fourier flexible form. American Journal of Agricultural Economics 1984, 66:204-208.
25. Gauger J., Snyder T.C. Residential fixed investment and the macroeconomy: has deregulation altered key relationships?. Journal of Real Estate, Finance and Economics 2003, 27:335-354.
26. Goodhart C.A.E., Hoffman B. House prices, money, credit and the macroeconomy. Oxford Review of Economic Policy 2008, 24:180-205.
27. Gordon R.J. What caused the decline in US business cycle volatility?. The Changing Nature of the Business Cycle 2005, Federal Reserve Bank of Australia, Sydney. C. Kent, D. Norman (Eds.).
28. Granger C.W., Jeon Y. Thick modelling. Economic Modelling 2004, 21:323-343.
29. Greenlaw, D., Hatzius, J., Kashyap, A.K., Shin, H.S., 2008. Leveraged losses: lessons from the mortgage market meltdown. US Monetary Policy Forun Report 2, University of Chicago Graduate School of Business.
30. Grossman, R.S., Meissner, C.M., 2010. International aspects of the Great Depression and the crisis of 2007: similarities, differences and lessons. Working Paper 16269, National Bureau of Economic Research.
31. Hamilton J. This is what happened to the oil price-macroeconomy relationship. Journal of Monetary Economics 1996, 38:215-220.
32. Jagannathan, R., Kapoor M., Schaumburg, E., 2009. Why are we in a recession? The financial crisis is the symptom not the disease! Working Paper 15404, National Bureau of Economic Research.
33. Kose, M.A., Otrok, C., Prasad, E., 2008. Global business cycles: convergence or decoupling? Working Paper 14292, National Bureau of Economic Research.
34. Leamer E. Housing is the business cycle. Housing, Housing Finance, and Monetary Policy 2007, Federal Reserve Bank of Kansas City, Kansas City.
35. Levchenko, A.A., Lewis, L.T., Tesar, L.L., 2010. The collapse of international trade during the 2008-2009 crisis: In search for the smoking gun. NBER Working Paper, No. 16006.
36. Levine, R., 2010. An autopsy of the US financial system. Working Paper 15956, National Bureau of Economic Research.
37. Nippani S., Smith S.D. The increasing default risk of US treasury securities due to the financial crisis. Journal of Banking and Finance 2010, 34:2472-2480.
38. Reinhart C., Rogoff K.S. This Time is Different: Eight Centuries of Financial Folly 2009, Princeton University Press, Princeton.
39. Shularick, M., Taylor, A.M., 2009. Credit booms gone bust: monetary policy, leverage, cycles and financial crises 1870-2008. Working Paper 15512, National Bureau of Economic Research.
40. Stock, J.H., Watson, M.W., 2005. Implications of dynamic factor models for VAR analysis, Working Paper 11467, National Bureau of Economic Research.
41. Temin, P., 2010. The great recession and the Great Depression. Working Paper 15645, National Bureau of Economic Research.