Nonlinear transmission of financial shocks: Some new evidence

Arbeitspapier

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.

Object Details

• ISBN: 978-82-8379-225-6
• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Working Paper ; No. 3/2022

Classification and Topics

• Classification: Wirtschaft ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models ; Business Fluctuations; Cycles
• Subject: SVAR ; Financial shocks ; Non-linearity ; Asymmetry ; Financial crisis

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Forni, Mario ; Gambetti, Luca ; Maffei-Faccioli, Nicolò ; Sala, Luca
• Event: Veröffentlichung
• (who): Norges Bank
• (where): Oslo
• (when): 2022

Further information

• Handle: http://hdl.handle.net/10419/264945
• Last update: 10.03.2025, 11:41 AM CET