The Great Depression and the Great Recession: A view from financial markets
Published
Journal Article
© 2019 Elsevier B.V. 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.
Full Text
Duke Authors
Cited Authors
- Bianchi, F
Published Date
- October 1, 2020
Published In
Volume / Issue
- 114 /
Start / End Page
- 240 - 261
International Standard Serial Number (ISSN)
- 0304-3932
Digital Object Identifier (DOI)
- 10.1016/j.jmoneco.2019.03.010
Citation Source
- Scopus