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An Econometric Chronology of the Financial Crisis of 2007-2008

38 Pages Posted: 6 Jun 2015  

Gary B. Gorton

Yale School of Management; National Bureau of Economic Research (NBER)

Andrew Metrick

Yale School of Management; National Bureau of Economic Research (NBER)

Lei Xie

AQR Capital Management, LLC

Date Written: April 28, 2015

Abstract

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

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

Gary B. Gorton (Contact Author)

Yale School of Management ( email )

165 Whitney Ave
P.O. Box 208200
New haven, CT 06511
United States

HOME PAGE: http://mba.yale.edu/faculty/profiles/gorton.shtml

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

Andrew Metrick

Yale School of Management ( email )

165 Whitney Avenue
New Haven, CT 06511
United States
(203)-432-3069 (Phone)

HOME PAGE: http://faculty.som.yale.edu/andrewmetrick/

National Bureau of Economic Research (NBER) ( email )

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

Lei Xie

AQR Capital Management, LLC ( email )

Greenwich, CT
United States

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