credit, including © notice, is given to the source. Financial Crises, Credit Booms, and External Imbalances: 140 Years of Lessons
credit, including © notice, is given to the source. Financial Crises, Credit Booms, and External Imbalances: 140 Years of Lessons
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2010
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外部失衡是否会增加金融危机的风险？在本文中，我们研究了14个发达国家140年来（1870-2008年）的经验。我们以多种不同的方式利用我们的长期数据集。首先，我们应用新的统计工具来描述危机的时空模式，并确定过去 140 年来全球金融不稳定的五次事件。其次，我们研究了危机前的宏观经济动态，结果表明，在全球金融危机爆发前，信贷增长往往会加快，自然利率会下降。第三，我们表明，与正常衰退相比，与危机相关的衰退会导致更严重的衰退和更强的失衡扭转。最后，我们询问外部失衡是否有助于预测金融危机。我们的总体结果是，信贷增长成为金融不稳定的唯一最佳预测指标，但近几十年来贷款繁荣与经常账户失衡之间的相关性变得更加紧密。 Òscar Jordà 经济系 加州大学戴维斯分校 One Shields Ave. Davis, CA 95616 ojorda@ucdavis.edu Moritz Schularick John-F.-Kennedy-Institute，柏林自由大学，柏林，德国 moritz.schularick@fu-berlin.de Alan M. Taylor 摩根士丹利 1585 Broadway New York, NY 10023 和 NBER amtaylor@ucdavis.edu
Do external imbalances increase the risk of financial crises? In this paper, we study the experience of 14 developed countries over 140 years (1870-2008). We exploit our long-run dataset in a number of different ways. First, we apply new statistical tools to describe the temporal and spatial patterns of crises and identify five episodes of global financial instability in the past 140 years. Second, we study the macroeconomic dynamics before crises and show that credit growth tends to be elevated and natural interest rates depressed in the run-up to global financial crises. Third, we show that recessions associated with crises lead to deeper recessions and stronger turnarounds in imbalances than during normal recessions. Finally, we ask if external imbalances help predict financial crises. Our overall result is that credit growth emerges as the single best predictor of financial instability, but the correlation between lending booms and current account imbalances has grown much tighter in recent decades. Òscar Jordà Department of Economics University of California, Davis One Shields Ave. Davis, CA 95616 ojorda@ucdavis.edu Moritz Schularick John-F.-Kennedy-Institute, Free University of Berlin, Berlin, Germany moritz.schularick@fu-berlin.de Alan M. Taylor Morgan Stanley 1585 Broadway New York, NY 10023 and NBER amtaylor@ucdavis.edu