Arbeitspapier
Nonlinear transmission of financial shocks: Some new evidence
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 and have contributed substantially to deepening the recessions of 2001 and 2008. The evidence is obtained using a new econometric procedure based on a Vector Moving Average representation that includes a nonlinear function of the financial shock.
- ISBN
-
978-82-8379-225-6
- Sprache
-
Englisch
- Erschienen in
-
Series: Working Paper ; No. 3/2022
- Klassifikation
-
Wirtschaft
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Business Fluctuations; Cycles
- Thema
-
SVAR
Financial shocks
Non-linearity
Asymmetry
Financial crisis
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Forni, Mario
Gambetti, Luca
Maffei-Faccioli, Nicolò
Sala, Luca
- Ereignis
-
Veröffentlichung
- (wer)
-
Norges Bank
- (wo)
-
Oslo
- (wann)
-
2022
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:41 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
- Forni, Mario
- Gambetti, Luca
- Maffei-Faccioli, Nicolò
- Sala, Luca
- Norges Bank
Entstanden
- 2022
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