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Artículo en revista académica

calendar_month Publicación: 01/07/2023

The impact of risk cycles on business cycles: a historical view

Autor: Marcela Valenzuela, Jon Danielsson, Ilknur Zer

We investigate the effects of financial risk cycles on business cycles, using a panel spanning 73 countries since 1900. Agents use a Bayesian learning model to form their beliefs about risk. We construct a proxy of these beliefs and show that perceived low risk encourages risk-taking, augmenting growth at the cost of accumulating financial vulnerabilities, and, therefore, a reversal in growth follows. The reversal is particularly pronounced when the low-risk environment persists and credit growth is excessive. Global risk cycles have a stronger effect on growth than local risk cycles via their impact on capital flows, investment, and debt-issuer quality.

Fuente: Review of Financial Studies

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