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Author/Editor:
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Claessens, Stijn ; Kose, M. Ayhan ; Terrones, Marco
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Publication Date:
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December 01, 2008
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Electronic Access:
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Free Full text
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Disclaimer: This Working Paper should not be reported as representing the views of the IMF.
The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate
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Summary:
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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Series:
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Working Paper No. 08/274
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Subject(s):
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Economic recession | Business cycles | Financial crisis | Credit | Housing prices | Stock prices | Oil prices | Databases | Economic models
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Author's Keyword(s):
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Business cycles | recessions | credit crunches | house prices | equity prices | busts |
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English
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Publication Date:
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December 01, 2008
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Format:
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Paper
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Stock No:
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WPIEA2008274
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Pages:
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75
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Price:
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US$18.00 )
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Please address any questions about this title to
publications@imf.org
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