this link using a factor-augmented vector autoregressive model (FAVAR) which extends a standard VAR for the U … address the following questions. How are macroeconomic shocks transmitted to bank risk and other banking variables? What are …? Our paper has two main findings: (i) Average bank risk declines, and average bank lending increases following expansionary …

residuals of the policy rule equation at these shock dates accordingly. In spite of its utmost agnostic nature, this approach …

an uncertainty shock. We find a significantly stronger response of real activity in recessions. Counterfactual …

output) shortly after a monetary policy shock. To overcome this problem, we propose to estimate the VAR parameters under the …

real activity to a financial uncertainty shock during and in the aftermath of the great recession. We replicate this … estimated framework to quantify the output loss due to the large uncertainty shock that materialized in 2008Q3. We find such a … shock to be able to explain about 60% of the output loss in the 2008-2014 period. The same estimated model unveils the role …

activity to a financial uncertainty shock during the great recession. We replicate this evidence with an estimated DSGE … real activity of an uncertainty shock under different Taylor rules estimated with normal times vs. great recession data … (the latter associated with a stronger response to output). We find that the uncertainty shock-induced output loss …