The Leverage Factor: Credit Cycles and Asset Returns

References

• Adrian T, Moench E, Shin HS (2013) Dynamic Leverage Asset Pricing. Staff Reports 625 (Federal Reserve Bank of New York, New York).Google Scholar
• Baron M, Muir T (2022) Intermediaries and asset prices: International evidence since 1870. Rev. Financial Stud. 35(5):2144–2189.Crossref, Google Scholar
• Baron M, Xiong W (2017) Credit expansion and neglected crash risk. Quart. J. Econom. 132(2):713–764.Crossref, Google Scholar
• Beaudry P, Galizia D, Portier F (2020) Putting the cycle back into business cycle analysis. Amer. Econom. Rev. 110(1):1–47.Crossref, Google Scholar
• Bernardo AE, Ledoit O (2000) Gain, loss, and asset pricing. J. Political Econom. 108(1):144–172.Crossref, Google Scholar
• Bordalo P, Gennaioli N, Shleifer A (2018) Diagnostic expectations and credit cycles. J. Finance 73(1):199–227.Crossref, Google Scholar
• Borio C, Lowe P (2002) Assessing the risk of banking crises. BIS Quart. Rev. December:43–54.Google Scholar
• Davis J, Taylor AM (2019) The leverage factor: Credit cycles and asset returns. NBER Working Paper No. 26435, National Bureau of Economic Research, Cambridge, MA.Google Scholar
• Geanakoplos J (2010) The leverage cycle. Acemoglu D, Rogoff KS, Woodford M, eds. NBER Macroeconomics Annual 2009, vol. 24 (University of Chicago Press, Chicago), 1–65.Google Scholar
• Gourinchas P-O, Obstfeld M (2012) Stories of the twentieth century for the twenty-first. Amer. Econom. J. Macroeconom. 4(1):226–265.Crossref, Google Scholar
• Greenwood R, Hanson SG (2014) Waves in ship prices and investment. Quart. J. Econom. 130(1):55–109.Crossref, Google Scholar
• Greenwood R, Hanson SG, Shleifer A, Sørensen JA (2022) Predictable financial crises. J. Finance 77(2):863–921.Crossref, Google Scholar
• He Z, Krishnamurthy A (2013) Intermediary asset pricing. Amer. Econom. Rev. 103(2):732–770.Crossref, Google Scholar
• Jordà Ò (2005) Estimation and inference of impulse responses by local projections. Amer. Econom. Rev. 95(1):161–182.Crossref, Google Scholar
• Jordà Ò, Taylor AM (2011) Performance evaluation of zero net-investment strategies. NBER Working Paper No. 17150, National Bureau of Economic Research, Cambridge, MA.Google Scholar
• Jordà Ò, Schularick M, Taylor AM (2013) When credit bites back. J. Money Credit Banking 45:3–28.Crossref, Google Scholar
• Jordà Ò, Schularick M, Taylor AM (2015) Leveraged bubbles. J. Monetary Econom. 76:S1–S20.Crossref, Google Scholar
• Jordà Ò, Schularick M, Taylor AM (2017) Macrofinancial history and the new business cycle facts. Eichenbaum M, Parker JA, eds. NBER Macroeconomics Annual 2016 (University of Chicago Press, Chicago), 213–263.Crossref, Google Scholar
• Jordà Ò, Knoll K, Kuvshinov D, Schularick M, Taylor AM (2019) The rate of return on everything, 1870–2015. Quart. J. Econom. 134(3):1225–1298.Google Scholar
• Kiyotaki N, Moore J (1997) Credit cycles. J. Political Econom. 105(2):211–248.Crossref, Google Scholar
• Krishnamurthy A, Muir T (2017) How credit cycles across a financial crisis. NBER Working Paper No. 23850, National Bureau of Economic Research, Cambridge, MA.Google Scholar
• López-Salido D, Stein JC, Zakrajšek E (2017) Credit-market sentiment and the business cycle. Quart. J. Econom. 132(3):1373–1426.Crossref, Google Scholar
• Lorenzoni G (2008) Inefficient credit booms. Rev. Econom. Stud. 75(3):809–833.Crossref, Google Scholar
• Mian A, Rao K, Sufi A (2013) Household balance sheets, consumption, and the economic slump. Quart. J. Econom. 128(4):1687–1726.Crossref, Google Scholar
• Mian A, Sufi A (2009) The consequences of mortgage credit expansion: Evidence from the U.S. mortgage default crisis. Quart. J. Econom. 124(4):1449–1496.Crossref, Google Scholar
• Mian A, Sufi A, Verner E (2017) Household debt and business cycles worldwide. Quart. J. Econom. 132(4):1755–1817.Crossref, Google Scholar
• Muir T (2019) Is risk mispriced in a credit boom? UCLA. Unpublished.Google Scholar
• Schularick M, Taylor AM (2012) Credit booms gone bust: Monetary policy, leverage cycles, and financial crises, 1870–2008. Amer. Econom. Rev. 102(2):1029–1061.Crossref, Google Scholar
• Sufi A, Taylor AM (2022) Financial crises: A survey. Gopinath G, Helpman E, Rogoff K, eds. Handbook of International Economics: International Macroeconomics, vol. 6 of Handbook of International Economics (Elsevier, Amsterdam), 291–340.Google Scholar