We investigate the role of forward-looking financial factors in propagating the Great Depression. We find that a new hand-collected bank stock index is better at predicting the onset of the Great Depression than the aggregate stock market or failed bank deposits. The bank stock index explains almost one-third of the fluctuations in industrial production after five years. Analysis disaggregated at each Federal Reserve district shows that bank stocks capture forward-looking information about debt defaults and credit. Our results suggest that future studies of the credit channel during the Great Depression should incorporate bank stocks to better identify the impact of credit crunches on economic activity.

我们调查了前瞻性金融因素在传播大萧条中的作用。我们发现，一个新的手工收集的银行股票指数比总体股票市场或失败的银行存款更能预测大萧条的开始。银行股指解释了工业生产五年后几乎三分之一的波动。对每个美联储地区的分析表明，银行股票捕捉到有关债务违约和信贷的前瞻性信息。我们的研究结果表明，未来对大萧条期间信贷渠道的研究应纳入银行股，以更好地确定信贷紧缩对经济活动的影响。