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Debt and Persistence of Financial Shocks

Projektbeschreibung

Ein genauerer Blick auf die anhaltenden Auswirkungen der Verschuldung privater Haushalte

Im Zuge der Bankenkrise von 2007 und der anschließenden Rezession erlebten die Vereinigten Staaten und Europa eine tiefgreifende Erschütterung, die tiefe Spuren in ihren Volkswirtschaften hinterließ. Es ist bekannt, dass die Folgen von Finanzkrisen im Vergleich zu Rezessionen außerhalb des Finanzsektors schwerwiegendere und langfristigere Folgen für Produktion und Beschäftigung nach sich ziehen. Die weiterhin ungelöste Frage lautet: Warum dauern die Auswirkungen von Kreditschocks so lange an? Zur Beantwortung dieser Frage werden im Rahmen des ERC-finanzierten Projekts PERSISTDEBT umfassende Datensätze erstellt, indem Informationen aus verschiedenen Quellen, einschließlich vollständiger Kreditinformationen, zusammengeführt werden. Dieser Ansatz verhilft den Forschenden dazu, kausale Erkenntnisse und genaue Quantifizierungen für das komplexe Zusammenspiel zwischen Schulden, Systemrisiko, Krisen und neuartiger makroprudenzieller Politik zu erhalten.

Ziel

In 2007 the US and Europe were overwhelmed by a banking crisis, which was followed by a severe economic recession. Historical studies show that financial crises are followed by periods of substantially stronger contraction of aggregate output and employment than non-financial recessions. Those studies also point out that the best predictor of financial crises is an ex-ante strong credit boom which, after the beginning of the crisis, followed by negative overall credit growth. Lastly, financial crises take a long time until recovering the pre-crisis levels.
Why are the effects of credit shocks so strong and persistent over time? Is this effect explained by costly household deleveraging? What is the effect of household debt on consumption, savings and employment? Are there any benefits of debt in crises? Do some effects of the financial crisis work through a reduction in credit supply to firms and projects with high innovative content and productivity (high overall return, but with high credit and liquidity risk for the lenders)? Or are the cleansing effects in financial crises concentrated on the less productive firms? Can macroprudential policies based on strict control of loan-to-value ratios stop the building up of excessive household debt?
We plan to construct several new datasets to study these issues by merging information from different sources. For some issues, like the analysis of the effect of household debt on consumption and employment, we can take advantage of a natural experiment of randomized allocation of debt among individuals derived from the use of lotteries to allocate the rights to buy housing in Spain. In comparison to the existing literature, we can exploit the exogenous variation generated by these lotteries and some other combination of data (including exhaustive credit data) to obtain causal evidence and quantification on the interaction between debt, systemic risk, crises, and the new macroprudential policy.

Gastgebende Einrichtung

UNIVERSIDAD POMPEU FABRA
Netto-EU-Beitrag
€ 1 208 676,00
Adresse
PLACA DE LA MERCE, 10-12
08002 Barcelona
Spanien

Auf der Karte ansehen

Region
Este Cataluña Barcelona
Aktivitätstyp
Higher or Secondary Education Establishments
Links
Gesamtkosten
€ 1 208 676,00

Begünstigte (2)