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Learning from History: Volatility and Financial Crises

Danielsson, Jon ; Valenzuela, Marcela ; Zer, Ilknur

The Review of financial studies, 2018-07, Vol.31 (7), p.2774-2805 [Periódico revisado por pares]

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Título:
Learning from History: Volatility and Financial Crises
Autor: Danielsson, Jon ; Valenzuela, Marcela ; Zer, Ilknur
É parte de: The Review of financial studies, 2018-07, Vol.31 (7), p.2774-2805
Descrição: We study the effects of stock market volatility on risk-taking and financial crises by constructing a cross-country database spanning up to 211 years and across 60 countries. Prolonged periods of low volatility have strong in-sample and out-of-sample predictive power over the incidence of banking crises and can be used as a reliable crisis indicator, whereas volatility itself does not predict crises. Low volatility leads to excessive credit buildups and balance sheet leverage in the financial system, indicating that agents take more risk in periods of low risk, supporting the dictum that “stability is destabilizing.”
Editor: Oxford University Press
Idioma: Inglês

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