This paper investigates the role of bank credit in predicting US recessions since the 1960s in the context of a bivariate probit model. A set of results emerge. First, credit booms are shown to have strong positive effects in predicting declines in the business cycle at horizons ranging from 6 to 9 months. Second, I propose to isolate the effect of credit booms by identifying the contribution of excess bank liquidity alongside a housing factor in the downturn of each cycle. Third, the out‐of‐sample performance of the model is tested on the most recent credit‐driven recession: the Great Recession of 2008. The model performs better than a more parsimonious version where we restrict the effect of credit booms on the business cycle in the system to be zero.

中文翻译：

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信贷繁荣是否预示着美国经济衰退？

本文在双变量概率模型的背景下研究了银行信贷在预测1960年代以来美国经济衰退中的作用。出现了一组结果。首先，在6到9个月的时间范围内，信贷繁荣对预测商业周期的下降具有强大的积极作用。第二，我建议通过在每个周期的低迷时期确定银行流动性过剩与住房因素的关系，来隔离信贷繁荣的影响。第三，该模型的样本外性能在最近的信贷驱动的衰退：2008年的大衰退中得到了检验。该模型的表现优于更为简化的模型，在该模型中，我们限制了信贷繁荣对商业周期的影响在系统中为零。