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Estimating the Effects of Global Uncertainty in Open Economies
Delrio, Silvia - 2016
risk exposure in the transmission of the shock. We employ an Interacted VAR model to take the time-varying dimension of … country relative risk exposure into account. Evidence of nonlinearities in the real effects of a global uncertainty shock is … found. The reduction in real activity is larger when the country is more exposed to aggregate risk. These findings support …
Persistent link: https://www.econbiz.de/10012984092
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Financial uncertainty and real activity : the good, the bad, and the ugly
Caggiano, Giovanni; Castelnuovo, Efrem; Delrio, Silvia; … - In: European economic review : EER 136 (2021), pp. 1-14
Persistent link: https://www.econbiz.de/10012696703
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Financial uncertainty and real activity : the good, the bad, and the ugly
Caggiano, Giovanni; Castelnuovo, Efrem; Delrio, Silvia; … - 2020
Persistent link: https://www.econbiz.de/10012495744
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Financial uncertainty and real activity : the good, the bad, and the ugly
Caggiano, Giovanni; Castelnuovo, Efrem; Delrio, Silvia; … - 2020
This paper quantifies the finance uncertainty multiplier (i.e., the magnifying effect of the real impact of uncertainty shocks due to financial frictions) by relying on two historical events related to the US economy, i.e., the large jump in financial uncertainty occurred in October 1987 (which...
Persistent link: https://www.econbiz.de/10012245103
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Estimating the effects of global uncertainty in open economies
Delrio, Silvia - 2016
Persistent link: https://www.econbiz.de/10011636654
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Financial uncertainty and real activity : the good, the bad, and the ugly
Caggiano, Giovanni; Castelnuovo, Efrem; Kima, Richard; … - 2020
Persistent link: https://www.econbiz.de/10012533269