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Nonlinear transmission of financial shocks : some new evidence
Forni, Mario; Gambetti, Luca; Maffei-Faccioli, Nicolò; … - 2022
that includes a nonlinear function of the financial shock. …
Persistent link: https://www.econbiz.de/10013207315
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Rare shocks, great recessions
Cúrdia, Vasco; Del Negro, Marco; Greenwald, Daniel L. - 2012
We estimate a DSGE model where rare large shocks can occur, but replace the commonly used Gaussian assumption with a Student's t-distribution. Results from the Smets and Wouters (2007) model estimated on the usual set of macroeconomic time series over the 1964-2011 period indicate that 1) the...
Persistent link: https://www.econbiz.de/10010219714
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Precautionary liquidity shocks, excess reserves and business cycles
Bratsiotis, George; Theodoridis, Konstantinos - 2020
This paper identifies a precautionary banking liquidity shock via a set of sign, zero and forecast variance … restrictions imposed. The shock proxies the reluctance of the banking sector to "lend" to the real economy induced by an exogenous … change in financial intermediaries' preference for "high" liquid assets. The identified shock has sizeable and state …
Persistent link: https://www.econbiz.de/10012483779
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Financial uncertainty and real activity : the good, the bad, and the ugly
Caggiano, Giovanni; Castelnuovo, Efrem; Delrio, Silvia; … - 2020
disruptions are found to double the negative output response to an uncertainty shock. We then employ our model to estimate the … overall economic cost of the COVID-19-induced uncertainty shock under different scenarios. Our results point to the … interventions that keep credit conditions as healthy as they were before the COVID-19 uncertainty shock are found to substantially …
Persistent link: https://www.econbiz.de/10012245103
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Uncertainty shocks and financial crisis indicators
Hristov, Nikolay; Roth, Markus - 2019
The current paper broadens the understanding of the role played by uncertainty in the context of macroeconomic fluctuations. It focuses on the implications of uncertainty shocks for indicators that tend to precede financial crises. In an empirical analysis we show for a set of four euro area...
Persistent link: https://www.econbiz.de/10012103607
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To sign or not to sign? : on the response of prices to financial and uncertainty shocks
Meinen, Philipp; Röhe, Oke - 2018
that such disturbances are important drivers of output fluctuations in both economies, we find the shock responses of …
Persistent link: https://www.econbiz.de/10011897983
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International Spill-Overs of Uncertainty Shocks : Evidence from a FAVAR
Kamber, Güneş - 2016
transmission of the uncertainty shock to a small open economy …
Persistent link: https://www.econbiz.de/10012981902
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The global financial cycle and macroeconomic tail risks
Beutel, Johannes; Emter, Lorenz; Metiu, Norbert; … - 2022
We study the link between the global financial cycle and macroeconomic tail risks using quantile vector autoregressions. Contractionary shocks to financial conditions and monetary policy in the United States cause elevated downside risks to growth around the world. By tightening financial...
Persistent link: https://www.econbiz.de/10013459721
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Deflationary financial shocks and inflationary uncertainty shocks : an SVAR investigation
De Santis, Roberto A.; Van der Veken, Wouter - 2022
What are the economic implications of financial and uncertainty shocks? We show that financial shocks cause a decline in output and goods prices, while uncertainty shocks cause a decline in output and an increase in goods prices. In response to uncertainty shocks, firms increase their markups,...
Persistent link: https://www.econbiz.de/10013373603
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Does regional currency integration ameliorate global macroeconomic shocks in sub-Saharan Africa? : the case of the 2008 - 2009 global financial crisis
Price, Gregory N.; Elu, Juliet U. - In: Journal of economic studies 41 (2014) 5, pp. 737-750
Persistent link: https://www.econbiz.de/10011338443