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dc.contributor.authorBezemer, Dirk-
dc.contributor.authorGrydaki, Maria-
dc.description.abstractA nascent literature explores the measurement of financial fragility. This paper considers evidence for rising financial fragility during the 1984-2007 Great Moderation in the U.S. The literature suggests that macroeconomic stability combined with strong growth of credit to asset markets, in asset prices and in credit relative to output are all indicators of rising financial fragility. We show each of these trends in the Great Moderation. We derive the testable implication that in the Great Moderation credit growth is driven more by past credit growth and less by output growth (Allen and Gale, 2000), relative to pre-Great Moderation years. Results from a VAR model estimated on quarterly data for 1955-2007 are consistent with the hypothesis. This invites a reinterpretation of the Great Moderation. Our methodology may help understand when a credit boom turns into a credit bubble, and contributes to the development of methods of measuring financial fragility.en_UK
dc.relationBezemer D & Grydaki M (2014) Financial Fragility in the Great Moderation, Journal of Banking and Finance, 49, pp. 169-177.-
dc.rightsPublished in Journal of Banking & Finance by Elsevier; Elsevier believes that individual authors should be able to distribute their accepted author manuscripts for their personal voluntary needs and interests, e.g. posting to their websites or their institution’s repository, e-mailing to colleagues. The Elsevier Policy is as follows: Authors retain the right to use the accepted author manuscript for personal use, internal institutional use and for permitted scholarly posting provided that these are not for purposes of commercial use or systematic distribution. An "accepted author manuscript" is the author’s version of the manuscript of an article that has been accepted for publication and which may include any author-incorporated changes suggested through the processes of submission processing, peer review, and editor-author communications.-
dc.subjectFinancial fragilityen_UK
dc.subjectGreat moderationen_UK
dc.titleFinancial Fragility in the Great Moderationen_UK
dc.typeJournal Articleen_UK
dc.citation.jtitleJournal of Banking and Finance-
dc.type.statusPost-print (author final draft post-refereeing)-
dc.contributor.affiliationUniversity of Groningen-
Appears in Collections:Economics Journal Articles

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