Financial Crisis and the Great Depression: A Regime-Switching Approach
用体制转换模型分析1930年代美国金融危机的时间点和影响，发现危机始于1930年10月银行恐慌而非1929年股市崩盘，且持续到1934年联邦存款保险推出，危机概率对产出波动有额外解释力。
I explore the timing of and effects of the U.S. financial crisis of the 1930s in a regime switching framework. Estimated conditional probabilities over the state of the financial sector suggest that a prolonged period of crisis begins not with the 1929 stock market crash, but with the first banking panic of October 1930. These probabilities also suggest that the crisis persists until the introduction of federal deposit insurance in early 1934. Consistent with the view that this financial crisis had real effects, these conditional probabilities contain additional explanatory power for output fluctuations. This is in addition to that provided by the money stock.