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The subprime lending and the euro debt crises


  1. The Facts
  2. The Initial Conditions
  3. The Transmission Mechanism
  4. The Policy Interventions
  5. Contagion and the euro crisis
  6. Keeping updated
  7. Good Books
  8. Finally Let us Have some FUN ...

 

SLIDES December 2015A ZIP FILE WITH DATA AND EVIEWS CODE FOR GRAPHS

 

1) The Facts

 

The Financial Crisis Inquiry Report  Final Report of the National Commission on the Causes of the Financial and Economic Crisis in the US, http://www.gpoaccess.gov/fcic/fcic.pdf 

Gorton G.B.(2008) "The subprime panic" NBER working paper 14398 http://www.nber.org/papers/w14398
Reinhart C and K.Rogoff(2008) "Is the 2007 U.S. Sub Prime financial  Crisis so different? An international Historical Comparison. http://www.nber.org/papers/w13761.pdf
 A useful check : Figlewski S. (2008) "Viewing the Financial Crisis from 20000 Feet up" ( I think this paper misses the main point of the current crisis (which is that it is not the initial shock that matters (subprime related losses are about 3 per cent of US stock market capitalization) but the trasmission mechanism of such shock (the de-leveraging process)). Make sure that you know how to criticize the views expressed here.

 

2) The Initial Conditions

Ashcraft A. and T. Schuerman (2008) "Understanding the Securitization of Subprime Mortgage Credit" mimeo, Federal Reserve Bank of New york 
 Bean C.(2009) "The Great Moderation, the great panic and the Great Contraction"

3) The Transmission Mechanism

Adrian T. and H.S. Shin(2008) "Liquidity and Leverage"
Adrian T. and H.S. Shin(2008) "Financial Intermediaries, Financial Stability and Monetary Policy"
Bloom (2009)"Uncertainty Shocks" Econometrica, forthcoming
Chari V.V., L. Christiano and P.Kehoe(2008) "Myths about the Financial Crisis of 2008" Federal Reserve Bank of Minneapolis Research Department WP 666
Cohen Cole, Duygan Bump, Fillat, Montoriol-Garriga(2008) "Looking Behind the aggregates: a Reply to Myths about the Financial Crisis of 2008" Federal Reserve of Boston
Coe P. (2002) "Financial Crisis and the Great Depression: A Regime Switching Approach" Journal of Money, Credit and Banking, 34, 1, 76-93
Greenlaw D., Hatzius J., A.K. Kashyap and H.S. Shin (2008) "Leveraged Losses:Lessons form the Mortagage Market Meltdown"
Dell'Ariccia G, E. Detragiache and R.Rajan(2008) "The real effect of banking crises" Journal of Financial Intermediation
IMF Global Financial Stability Report (Oct 2008)  Financial Stress and Deleveraging Macro-Financial Implications and Policy

Taylor J. and Williams(2008) "A Black Swan in the Money Market" Federal Reserve Bank of San Francisco Working Paper 2008-04,
Taylor J. and Williams(2008) "Further Results on a Black Swan in the money market" mimeo
Tong H. and Shang-Jin Wei(2008) "Real Effects of the subprime Mortgage Crisis: Is It a Demand or a Finance Shock?" IMF working Paper wp/08/186  

Barro R. J. and Urzua(2009) "Stock Market crashes and depressions" NBER working paper 14760, http://www.nber.org/
Fama
 E.F.(1990) "Stock Returns, Expected Returns and Real Activity" Journal of Finance vol 45, No.4
J. Choi, A.Hauser, K.J. Kopecky(1999) "Does the Stock Market Predict Real Activity? Time-Series evidence from the G-7 Countries" Journal of Banking and Finance
R.G. Rajan and L. Zingales(1998) "Financial Dependence and Growth" The American Economic Review, 88, 3, 559-586 http://www.jstor.org/stable/116849

 4) The Policy Interventions

Blanchard O.(2008) "The Crisis, Basic Mechanism and Appropriate Policies", Munich Lecture
Cecchetti S.G. and L. Li(2005) "Do Capital Adequacy Requirement Matter for Monetary Policy ?" NBER WP 11830, http://www.nber.or/papers/w11830
Fleming, Klagge(2010) "The Federal Reserves' Foreign Exchange Swap lines", Federal Reserve Bank of New York
IMF(2008) Fiscal Policy for the Crisis
Stein J.(2012) Evaluating Large-Scale Asset Purchases
Taylor(2010) "Getting Back on Track: Macroeconomic Policy Lessons from the Financial Crisis" Stlouis FED

5) Contagion and the euro crisis

Baldwin R. and F.Giavazzi F (2015) "Towards a consensus on the causes of the euro crisis" CEPR ebook
Brunnermeier, Markus K, and Ricardo Reis. “A Crash Course on the Euro Crisis”. (In Preparation). Print. availalable at http://scholar.princeton.edu/markus/publications/crash-course-euro-crisis
European Safe Bonds, the Euronomics Group
J.Muellbauer(2011) "Resolving the euro-zone crisis. time for Conditional Eurobonds" CEPR Policy Insight
Foglia A. (2008) "Stress testing credit risk: a survey of authorities' approaches" Bank of Italy Occasional Papers 37,

 

 

6) Keeping updated

 http://www.eurointelligence.com/
 http://www.voxeu.org/

 http://research.stlouisfed.org/fred2/

  

7) Good Books

 13 Bankers by S.Johnson and B.Kwak
 The Big Short: Inside the Doomsday Machine by Michael Lewis
 This time is different: panoramic view of eight centuries of financial crises, by Reinhart and Rogoff

 

 8) Finally Let us Have some FUN  ...

 The American Stuff :An Awkward Loan Interview starring Bernanke and Paulson:
http://www.thedailyshow.com/video/index.jhtml?videoId=186056&title=awkward-loan-interview

The British Stuff: Bird and Fortune on subprime crisis
http://www.youtube.com/watch?v=mzJmTCYmo9g

Last update 02/12/2015



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