Sonntag, 25. Januar 2009

IWF-Studie zur "Taxonomie des ökonomischen Grauens"

Durch einen Artikel im Handelsblatt ("Das Grauen: Die Spielarten von Rezessionen", 10.01.2009) bin ich auf ein Arbeitspapier des Internationalen Währungsfonds (IWF) gestoßen, in dem 122 Rezessionen seit 1960 in Hinblick auf die damals herrschenden wirtschaftlichen und finanziellen Rahmenbedingungen analysiert wurden.

Der Abstract bringt das Ergebnis auf den Punkt:
"In particular, we analyze the implications of 122 recessions, 112 (28) credit contraction (crunch) episodes, 114 (28) episodes of house price declines (busts), 234 (58) episodes of equity price declines (busts) and their various overlaps in these countries over the sample period.

Our results indicate that interactions between macroeconomic and financial variables can play major roles in determining the severity and duration of recessions.

Specifically, we find evidence that recessions associated with credit crunches and house price busts tend to be deeper and longer than other recessions."
Durch die Executive Summary wird der letzte Satz noch besser greifbar:

  • The typical recession lasts almost 4 quarters and is associated with an output drop of roughly 2 percent (Figure A). Most macroeconomic and financial variables exhibit procyclical behavior during recessions. While recessions have been becoming shorter and milder over time, they remain highly synchronized across countries. Moreover, recessions often coincide with the episodes of contractions in domestic credit and declines in asset prices.

  • Episodes of credit crunches, house price and equity price busts last much longer than recessions do. For example, a credit crunch episode typically lasts two-and-a-half years and is associated with nearly a 20 percent decline in credit. A housing bust tends to persist even longer—four-and-a-half years with a 30 percent fall in real house prices. And an equity price bust lasts some 10 quarters and when it is over, the real value of equities drops by half.

  • In one out of six recessions, there is also a credit crunch underway, and in one out of four recessions a house price bust. Equity price busts coincide with one-third of recession episodes. There can be considerable lags between financial market disturbances and real activity. A recession, if one occurs, can start as late as four to five quarters after the onset of a credit crunch or housing bust.

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