The Great Depression and the Great Recession: A View from Financial Markets / Francesco Bianchi.

Format:

Book

Author/Creator:

Bianchi, Francesco.

Contributor:

National Bureau of Economic Research.

Series:

Working Paper Series (National Bureau of Economic Research) no. w21056.

NBER working paper series no. w21056

Language:

English

Physical Description:

1 online resource: illustrations (black and white);

Other Title:

Great Depression and the Great Recession

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 2015.

Summary:

Similarities between the Great Depression and the Great Recession are documented with respect to the behavior of financial markets. A Great Depression regime is identified by using a Markov-switching VAR. The probability of this regime has remained close to zero for many decades, but spiked for a short period during the most recent financial crisis, the Great Recession. The Great Depression regime implies a collapse of the stock market, with small-growth stocks outperforming small-value stocks. A model with financial frictions and uncertainty about policy makers' intervention suggests that policy intervention during the Great Recession might have avoided a second Great Depression. A multi-country analysis shows that the Great Depression and Great Recession were not like any other financial crises.

Notes:

Print version record

March 2015.