relation: http://eprints.imtlucca.it/3159/
title: An extreme value analysis of the last century crises  across industries in the U.S. economy
creator: Bee, Marco
creator: Riccaboni, Massimo
creator: Trapin, Luca
subject: HB Economic Theory
subject: HD Industries. Land use. Labor
description: The two large scale crises that hit the world economy in the last century, i.e. the Great  Depression and the Great Recession, have similar outbreak and recovery patterns with  respect to several macroeconomic variables. In particular, the largest depressions are  likely to be accompanied by stock-market crashes. This study investigates the behavior  of the U.S. stock market before, during and after deep downturns, focusing particularly  on the tails of the return distribution. We develop two automatic procedures to identify  multiple change-points in the tail of financial time series as well as in the co-crash and  co-boom probabilities of different markets. We then apply our methodology to twelve  time series representative of the sectors of the U.S. economy. We find that regime  shifts in the lower tail of the distribution tend to co-occur before deep downturns. Our  results contribute to a better understanding of the origin and systemic nature of large  scale events to make policy interventions more timely and effective.
publisher: IMT Institute for Advanced Studies Lucca
date: 2016-02
type: Working Paper
type: NonPeerReviewed
format: application/pdf
language: en
rights: cc_by_nd
identifier: http://eprints.imtlucca.it/3159/1/EIC_WP_02_2016.pdf
identifier:   Bee, Marco and Riccaboni, Massimo and Trapin, Luca  An extreme value analysis of the last century crises across industries in the U.S. economy.  EIC working paper series  #2/2016    IMT Institute for Advanced Studies Lucca    ISSN 2279-689.