Similar Search Results

Nonlinear transmission of financial shocks : some new evidence

Forni, Mario; Gambetti, Luca; Maffei-Faccioli, Nicolò; … - 2022

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...

Persistent link: https://www.econbiz.de/10013207315

Financial frictions, financial shocks, and aggregate volatility

Fuentes-Albero, Cristina - 2012 - This vers.: January 2012

the Great Moderation. While the volatility of financial price variables also follows such pattern, financial quantity … variables have experienced a continuous immoderation. We examine these patterns in volatility by estimating a DSGE model with …

Persistent link: https://www.econbiz.de/10009489592

Financial Frictions, Financial Shocks, and Aggregate Volatility

Fuentes-Albero, Cristina - 2016

in the volatility of credit spreads is driven by an easier access to credit, while a higher exposure to financial risk …

Persistent link: https://www.econbiz.de/10013005700

Financial frictions, financial shocks, and aggregate volatility

Fuentes-Albero, Cristina - 2018 - This version: July 2018

The Great Moderation in the U.S. economy was accompanied by a widespread increase in the volatility of financial … volatility slowdown in real and nominal variables and in shaping the transmission mechanism of financial shocks. Our model … accounts for the increase in the volatility of financial variables through larger financial shocks, but the vulnerability of …

Persistent link: https://www.econbiz.de/10012016100

Financial Frictions, Financial Shocks, and Aggregate Volatility

Fuentes-Albero, Cristina - 2012

Persistent link: https://www.econbiz.de/10013111004

Asymmetric ambiguity spillover among international equity markets

Qin, Xiao; Wang, Yuwen - In: Applied economics letters 30 (2023) 13, pp. 1843-1849

Persistent link: https://www.econbiz.de/10014305155

Financial Vulnerability and Risks to Growth in Emerging Markets

Acharya, Viral V. - 2020

in their business cycles relative to those of advanced economies. Information on the domestic price of risk, cost of …

Persistent link: https://www.econbiz.de/10012831744

Financial system fragility models

Iancu, Aurel - 2011

This paper analyses two types of models: 1. Those based on assumptions of monetary and financial market equilibrium disturbance in line with mainstream thinking that there is self-regulating market, the units would have rational expectations, and the crisis would be a temporary phenomenon caused...

Persistent link: https://www.econbiz.de/10010529077

Heterogeneity and Cross-Country Spillovers in Macroeconomic-Financial Linkages

Ciccarelli, Matteo - 2012

We investigate heterogeneity and spillovers in macro-financial linkages across developed economies, with a particular emphasis in the most recent recession. A panel Bayesian VAR model including real and financial variables identifies a statistically significant common component, which turns out...

Persistent link: https://www.econbiz.de/10013097758

Heterogeneity and Cross-Country Spillovers in Macroeconomic-Financial Linkages

Ciccarelli, Matteo - 2013

We investigate heterogeneity and spillovers in macro-financial linkages across developed economies, with a particular emphasis on the most recent recession. A panel Bayesian VAR model including real and financial variables identifies a statistically significant common component, which proves to...

Persistent link: https://www.econbiz.de/10013089300