Replication data for: What Happened: Financial Factors in the Great Recession

At the onset of the recent global financial crisis, the workhorse macroeconomic models assumed frictionless financial markets. These frameworks were thus not able to anticipate the crisis, nor to analyze how the disruption of credit markets changed what initially appeared like a mild downturn into the Great Recession. Since that time, an explosion of both theoretical and empirical research has investigated how the financial crisis emerged and how it was transmitted to the real sector. The goal of this paper is to describe what we have learned from this new research and how it can be used to understand what happened during the Great Recession. In the process, we also present some new empirical work. We argue that a complete description of the Great Recession must take account of the financial distress facing both households and banks and, as the crisis unfolded, nonfinancial firms as well. Exploiting both panel data and time series methods, we analyze the contribution of the house price decline, versus the banking distress indicator, to the overall decline in employment during the Great Recession. We confirm a common finding in the literature that the household balance sheet channel is important for regional variation in employment. However, we also find that the disruption in banking was central to the overall employment contraction.在本轮全球金融危机爆发之初，主流宏观经济模型均假设金融市场无摩擦。此类框架既未能预见此次危机，也无法分析信贷市场中断如何将最初看似温和的经济下行演变为大衰退（Great Recession）。危机爆发后，理论与实证研究如雨后春笋般涌现，聚焦金融危机的形成机制及其向实体经济的传导路径。本文旨在梳理此项新兴研究带来的学术进展，并阐明如何借助这些成果解读大衰退期间的经济运行全貌。在此过程中，本文同时呈现了部分全新的实证研究成果。本文认为，全面阐释大衰退的成因与进程，必须兼顾家庭与银行部门面临的金融压力；随着危机的演进，非金融企业部门的压力亦不容忽略。本文同时运用面板数据（panel data）与时间序列方法（time series methods），对比考察了房价下跌与银行压力指标对大衰退期间整体就业下滑的相对贡献程度。本文验证了学界已达成的一项共识：家庭资产负债表渠道（household balance sheet channel）是解释就业区域差异的重要因素，但同时发现银行业的信贷市场震荡才是整体就业收缩的核心驱动因素。