Macrofinancial History and the New Business Cycle Facts

《NATIONAL BUREAU of ECONOMIC RESEARCH  》2016         作者：Òscar Jordà, Moritz Schularick, Alan M. Taylor.

内容摘要：In advanced economies, a century-long near-stable ratio of credit to GDP gave way to rapid financialization and surging leverage in the last forty years. This “financial hockey stick” coincides with shifts in foundational macroeconomic relationships beyond the widely-noted return of macroeconomic fragility and crisis risk. Leverage is correlated with central business cycle moments, which we can document thanks to a decade-long international and historical data collection effort. More financialized economies exhibit somewhat less real volatility, but also lower growth, more tail risk, as well as tighter real-real and real-financial correlations. International real and financial cycles also cohere more strongly. The new stylized facts that we discover should prove fertile ground for the development of a new generation of macroeconomic models with a prominent role for financial factors.

关键词：Monitoring，Dynamic contracts，Managerial compensation，Moral hazard，Endogenous financing constraints

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