Aggregate price shocks and financial stability: the United Kingdom 1796-1999

被引：13
作者：
Bordo, MD
Dueker, MJ
Wheelock, DC
机构：
[1] Fed Res Bank St Louis, St Louis, MO 63166 USA
[2] Rutgers State Univ, Piscataway, NJ 08855 USA
[3] NBER, Cambridge, MA 02138 USA
来源：
EXPLORATIONS IN ECONOMIC HISTORY | 2002年 / 40卷 / 02期
关键词：
financial stability; aggregate price shocks; dynamic probit; monetary regimes;
D O I：
10.1016/S0014-4983(03)00014-7
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This paper investigates aggregate price shocks on financial stability in the United Kingdom. We construct an annual index of UK financial conditions for 1790-1999 and use a dynamic probit model to estimate the effect of shocks on the index. We find evidence that price level shocks contributed significantly to financial instability during 1820-1931 and that inflation rate shocks contributed to instability during 1931-1999. While affecting the stability of the financial system, both the nature of aggregate price shocks and their impact depend on the existing monetary and financial regime. (C) 2003 Elsevier Science (USA). All rights reserved.
引用
收藏
页码：143 / 169
页数：27
相关论文
共 45 条
[1]  
Batchelor Roy A., 1986, FINANCIAL CRISES WOR, P41, DOI [10.1007/978-1-349-06788-6_3, DOI 10.1007/978-1-349-06788-6_3]
[2]  
BERNANKE B, 1991, NAT BUR EC, P33
[3]  
BERNANKE B, 1989, AM ECON REV, V79, P14
[4]  
Bernanke B.S., 1999, FEDERAL RESERVE BANK, V84, P17
[5]  
BERNANKE BS, 1983, AM ECON REV, V73, P257
[6]  
Bernanke BS, 1999, HBK ECON, V15, P1341
[7]  
Bordo MD, 1999, HBK ECON, V15, P149
[8]   Aggregate price shocks and financial instability: A historical analysis [J].
Bordo, MD ;
Dueker, MJ ;
Wheelock, DC .
ECONOMIC INQUIRY, 2002, 40 (04) :521-538
[9]  
Borio C.E.V., 2002, BIS WORKING PAPERS
[10]  
CAPIE F, 2001, PRICE CHANGE FINANCI
12345