Learning from History: Volatility and Financial Crises
通过覆盖60个国家、长达211年的跨国数据，研究发现长期低波动性对银行危机有强预测力，而波动性本身不能预测危机；低波动性导致信贷过度积累和杠杆上升，支持“稳定导致不稳定”的观点。
We study the effects of stock market volatility on risk-taking and financial crises by constructing a cross-country database spanning up to 211 years and 60 countries. Prolonged periods of low volatility have strong in-sample and out-of-sample predictive power over the incidence of banking crises and can be used as a reliable crisis indicator, whereas volatility itself does not predict crises. Low volatility leads to excessive credit build-ups and balance sheet leverage in the financial system, indicating that agents take more risk in periods of low risk, supporting the dictum that "stability is destabilizing."