Skip to main content

Article Category

Article available in the folowing languages:

New website on ERC project Debt and Persistence of Financial Shocks led by Prof. José-Luis Peydró

The site features publications and working papers of this ongoing project. New scientific output will be added in the coming months.

Fundamental Research

In 2007-08, Europe and the US were overwhelmed by a financial crisis, followed by a severe, persistent economic recession. Prior to the crisis, there was a debt and asset-price boom. Historical studies show that this is the common pattern: (i) Financial crises are followed by a strong contraction of aggregate output and employment (and credit) and take a longer time to recover (than non-financial recessions); (ii) The best predictor of financial crises is an ex-ante strong credit boom (accompanied by high asset prices). There is growing finance-macro theory and new policy, but no micro evidence. In this project we study: Why are the effects of debt and financial shocks strong and persistent? What are the channels of transmission (households, banks, firms, sovereigns)? As crises are not exogenous, what are the determinants? Can public policy (macroprudential, monetary) alleviate the negative effects? Are there costs or limitations of these policies? To study these issues, we are constructing several micro datasets that are absolutely new in the literature: Comprehensive loan-level data for households, with borrower identifier, matched with household level info (income, wealth, house variables, consumption, labor…; both administrative data and survey data). Security-time-bank level data (i.e. both securities and credit registers): each security a bank has in each period with rating, price, maturity, yield, coupons, whether a market price… and all loans. Real effects (of credit channels and policies): matched loan level data with administrative firm-level (and supervisory bank-level) data. Therefore, the overall objective is to understand better financial crises and debt shocks, and how to reduce their negative impact on society through very different channels.


financial crises, financial shocks, transmission channels, credit channels, real effects, credit registers