Financial shocks generate a protracted and quantitatively important effect on real economic activity and financial markets only if the shocks are both negative and large. Otherwise, their role is quite modest. Financial shocks have become more important for economic fluctuations after the 2000 and have contributed substantially to deepening the recessions of 2001 and 2008. The evidence is obtained using a new econometric procedure based on a VMA representation that includes a nonlinear function of the financial shock.

Forni, Mario, Luca, Gambetti, Nicolò, Maffei-Faccioli e Luca, Sala. "The Nonlinear Transmission of Financial Shocks: Some Evidence" Working paper, 2022.

The Nonlinear Transmission of Financial Shocks: Some Evidence

Mario Forni;
2022

Abstract

Financial shocks generate a protracted and quantitatively important effect on real economic activity and financial markets only if the shocks are both negative and large. Otherwise, their role is quite modest. Financial shocks have become more important for economic fluctuations after the 2000 and have contributed substantially to deepening the recessions of 2001 and 2008. The evidence is obtained using a new econometric procedure based on a VMA representation that includes a nonlinear function of the financial shock.
2022
Marzo
CEPR Discussion papers
Forni, Mario; Gambetti, Luca; Maffei-Faccioli, Nicolò; Sala, Luca
Forni, Mario, Luca, Gambetti, Nicolò, Maffei-Faccioli e Luca, Sala. "The Nonlinear Transmission of Financial Shocks: Some Evidence" Working paper, 2022.
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11380/1274392
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