An Econometric Chronology of the Financial Crisis of 2007-2008

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