TY  - JOUR
AU  - Jordà, Òscar
AU  - Schularick, Moritz
AU  - Taylor, Alan M
TI  - Macrofinancial History and the New Business Cycle Facts
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 22743
PY  - 2016
Y2  - October 2016
DO  - 10.3386/w22743
UR  - http://www.nber.org/papers/w22743
L1  - http://www.nber.org/papers/w22743.pdf
N1  - Author contact info:
Òscar Jordà
Economic Research, MS 1130
Federal Reserve Bank of San Francisco
San Francisco, CA 94105
E-Mail: oscar.jorda@gmail.com

Moritz Schularick
University of Bonn
Department of Economics
Adenauerallee 24-42
53113 Bonn
Germany
E-Mail: moritz.schularick@uni-bonn.de

Alan M. Taylor
Department of Economics and
Graduate School of Management
University of California
One Shields Ave
Davis, CA 95616-8578
Tel: (530) 752-0741
Fax: (530) 752-9382
E-Mail: amtaylor@ucdavis.edu
M1  - published as Òscar Jordà, Moritz Schularick, Alan M. Taylor. "Macrofinancial History and the New Business Cycle Facts," in Martin Eichenbaum and Jonathan A. Parker, editors, "NBER Macroeconomics Annual 2016, Volume 31" University of Chicago Press (2017)

AB  - In advanced economies, a century-long near-stable ratio of credit to GDP gave way to rapid financialization and surging leverage in the last forty years. This “financial hockey stick” coincides with shifts in foundational macroeconomic relationships beyond the widely-noted return of macroeconomic fragility and crisis risk. Leverage is correlated with central business cycle moments, which we can document thanks to a decade-long international and historical data collection effort. More financialized economies exhibit somewhat less real volatility, but also lower growth, more tail risk, as well as tighter real-real and real-financial correlations. International real and financial cycles also cohere more strongly. The new stylized facts that we discover should prove fertile ground for the development of a new generation of macroeconomic models with a prominent role for financial factors.
ER  -