The recent financial crisis has highlighted the fragility of the US financial system under several respects. In this paper the properties of a summary index of financial fragility, timely capturing changes in credit and liquidity risk, distress in the mortgage market, and corporate default risk, is investigated over the 1986-2010 period. We find that observed fluctuations in the financial fragility index can be attributed to identified (global and domestic) macroeconomic (20%) and financial disturbances (40% to 50%), over both short- and long-term horizons, as well as to oil-supply shocks in the long-term (25%). Overall, differenty from financial shocks, macroeconomic disturbances have generally had a stabilizing effect.

Determinants of US financial fragility conditions

BAGLIANO, Fabio Cesare;
2014

Abstract

The recent financial crisis has highlighted the fragility of the US financial system under several respects. In this paper the properties of a summary index of financial fragility, timely capturing changes in credit and liquidity risk, distress in the mortgage market, and corporate default risk, is investigated over the 1986-2010 period. We find that observed fluctuations in the financial fragility index can be attributed to identified (global and domestic) macroeconomic (20%) and financial disturbances (40% to 50%), over both short- and long-term horizons, as well as to oil-supply shocks in the long-term (25%). Overall, differenty from financial shocks, macroeconomic disturbances have generally had a stabilizing effect.
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377
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http://www.journals.elsevier.com/research-in-international-business-and-finance/
Financial crisis; financial fragility; US financial system
F.C. Bagliano; C. Morana
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/2318/142422
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