One of the problems in conducting cross-country analyses of infrequent macroeconomic episodes (such as financial crises) is absence of a comprehensive historical dataset. That has been partly remedied by the publication of the Macrohistory Database, assembled by Oscar Jordà, Moritz Schularick, and Alan Taylor (see the paper utilizing this database, discussed here by Jim).
The Jordà-Schularick-Taylor Macrohistory Database is the result of an extensive data collection effort over several years. In one place it brings together macroeconomic data that previously had been dispersed across a variety of sources. …
The database covers 17 advanced economies since 1870 on an annual basis. It comprises 25 real and nominal variables. Among these, there are time series that had been hitherto unavailable to researchers, among them financial variables such as bank credit to the non-financial private sector, mortgage lending and long-term house prices. The database captures the near-universe of advanced-country macroeconomic and asset price dynamics, covering on average over 90 percent of advanced-economy output and over 50 percent of world output.
… in a non-negligible number of cases we had to go back to archival sources including documents from governments, central banks, and private banks. Typically, we combined information from various sources and spliced series to create long-run datasets spanning the entire 1870–2014 period for the first time.
This is an amazing resource. Historical cross-country multivariate data of this sort underpinned research cited in this post, which demonstrated that economic growth following banking crises was typically slower than that following a typical recession. That research highlighted the mendacity of those who conditioned on depth of recession but not presence of banking crises, when assessing growth norms.