How Credit Cycles Across a Financial Crisis
How Credit Cycles Across a Financial Crisis
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金融危机期间信贷如何循环
DOI：
10.3386/w23850
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发表时间：
2017
期刊：
影响因子：
--
通讯作者：
Tyler Muir
中科院分区：
文献类型：
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作者：
A. Krishnamurthy;Tyler Muir
我们利用信用利差的信息研究了金融危机周期中信用和产出的行为。我们发现，随着信贷息差的大幅增加，危机发生了转变，这表明危机涉及预期的巨大转变，并且是一个惊喜。随后的危机的严重程度可以通过信用损失的规模（利差的变化）加上金融部门的脆弱性（以危机前的信用增长衡量）来预测，我们证明这种相互作用是危机的一个重要特征。我们还发现，金融危机后的衰退是严重和持久的。最后，我们发现利差在危机前下降，看起来太低，即使信贷在危机前增长。价格和数量的这种行为表明，信贷供应扩张是危机的前兆。2008年的金融危机周期与这些围绕金融危机的历史模式是一致的。
We study the behavior of credit and output across a financial crisis cycle using information from credit spreads. We show the transition into a crisis occurs with a large increase in credit spreads, indicating that crises involve a dramatic shift in expectations and are a surprise. The severity of the subsequent crisis can be forecast by the size of credit losses (change in spreads) coupled with the fragility of the financial sector (as measured by pre-crisis credit growth), and we document that this interaction is an important feature of crises. We also find that recessions in the aftermath of financial crises are severe and protracted. Finally, we find that spreads fall pre-crisis and appear too low, even as credit grows ahead of a crisis. This behavior of both prices and quantities suggests that credit supply expansions are a precursor to crises. The 2008 financial crisis cycle is in keeping with these historical patterns surrounding financial crises.