Credit booms and crisis-emergent asset comovement: The problem of latent correlation
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DOI: 10.1016/j.qref.2022.03.009
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More about this item
Keywords
Correlation shift; Credit; Disaster event; Latent correlation; Malinvestment;All these keywords.
JEL classification:
- E14 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - Austrian; Evolutionary; Institutional
- E51 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Money Supply; Credit; Money Multipliers
- G01 - Financial Economics - - General - - - Financial Crises
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
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