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Publications [#342816] of Francesco Bianchi

Journal Articles

  1. Bianchi, F, The Great Depression and the Great Recession: A view from financial markets, Journal of Monetary Economics (January, 2019) [doi]
    (last updated on 2019/07/23)

    © 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.

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