eprintid: 3683
rev_number: 8
eprint_status: archive
userid: 69
dir: disk0/00/00/36/83
datestamp: 2017-04-03 09:39:32
lastmod: 2017-08-28 15:31:01
status_changed: 2017-04-03 09:39:32
type: article
metadata_visibility: show
creators_name: Bee, Marco
creators_name: Riccaboni, Massimo
creators_name: Trapin, Luca
creators_id: 
creators_id: massimo.riccaboni@imtlucca.it
creators_id: luca.trapin@imtlucca.it
title: An extreme value analysis of the last century crises across industries in the U.S. economy
ispublished: pub
subjects: HC
subjects: HD
subjects: HD28
divisions: EIC
full_text_status: none
keywords: Financial crisis; Extreme value theory; Change-points detection; U.S. economy
abstract: Abstract 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.
date: 2017-08
date_type: published
publication: Journal of Economic Dynamics and Control
volume: 81
publisher: Elsevier
pagerange: 65-78
id_number: 10.1016/j.jedc.2017.01.012
refereed: TRUE
issn: 0165-1889
official_url: http://www.sciencedirect.com/science/article/pii/S0165188917300209
related_url_url: https://ideas.repec.org/p/ial/wpaper/02-2016.html
related_url_type: org
citation:   Bee, Marco and Riccaboni, Massimo and Trapin, Luca  An extreme value analysis of the last century crises across industries in the U.S. economy.  Journal of Economic Dynamics and Control, 81.  pp. 65-78.  ISSN 0165-1889      (2017)