38 Pages Posted: 6 Jun 2015
Date Written: April 28, 2015
What happened during the financial crisis of 2007-2008? Understanding the dynamics of the financial crisis requires determining the timing of important events. We document the crisis chronology econometrically based on market prices. The empirical chronology is based on locating the dates of structural breaks in panel data sets, based on the methodology of Bai (2010). Narrative chronologies are ex post. In contrast, the econometric chronology is based on contemporaneous market prices, and reveals the crisis building up prior to the Lehman collapse.
Keywords: Financial Crisis
JEL Classification: E3, G20
Suggested Citation: Suggested Citation
Gorton, Gary B. and Metrick, Andrew and Xie, Lei, An Econometric Chronology of the Financial Crisis of 2007-2008 (April 28, 2015). Available at SSRN: https://ssrn.com/abstract=2615029 or http://dx.doi.org/10.2139/ssrn.2615029
By Andrew Lo