Arbeitspapier
Uncertainty Shocks and Financial Crisis Indicators
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 countries that negative uncertainty shocks, while boosting economic activity, are followed by unfavorable reactions of financial crisis indicators. We conclude that standard uncertainty measures contain some useful information on the potential buildup of vulnerabilities in the financial system.
- Sprache
-
Englisch
- Erschienen in
-
Series: CESifo Working Paper ; No. 7839
- Klassifikation
-
Wirtschaft
Information and Uncertainty: Other
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Financial Markets and the Macroeconomy
Financial Crises
- Thema
-
uncertainty
crisis indicators
structural macroeconomic shocks
sign restrictions
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Hristov, Nikolay
Roth, Markus
- Ereignis
-
Veröffentlichung
- (wer)
-
Center for Economic Studies and ifo Institute (CESifo)
- (wo)
-
Munich
- (wann)
-
2019
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Hristov, Nikolay
- Roth, Markus
- Center for Economic Studies and ifo Institute (CESifo)
Entstanden
- 2019
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