The Changing International Transmission of Financial Shocks: Evidence from a Classical Time‐Varying FAVAR

Angela Abbate (), Sandra Eickmeier, Wolfgang Lemke and Massimiliano Marcellino

Journal of Money, Credit and Banking, 2016, vol. 48, issue 4, 573-601

Abstract: We study the changing international transmission of financial shocks over the period 1971–2012. Global financial shocks are measured as unexpected changes of a U.S. financial conditions index (FCI), developed by Hatzius et al. (2010). We model the FCI jointly with a large international data set through a time‐varying parameter factor‐augmented VAR and find that financial shocks have a considerable impact on growth in the nine countries considered. Moreover, financial shocks during the global financial crisis are found to be large by historical standards. They explain approximately 20% of GDP growth variation on average over 2008–9, compared to an average of 5% prior to the crisis.

Date: 2016
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https://doi.org/10.1111/jmcb.12311

Related works:
Working Paper: The Changing International Transmission of Financial Shocks: Evidence from a Classical Time-Varying FAVAR (2011)
Working Paper: The changing international transmission of financial shocks: evidence from a classical time-varying FAVAR (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:wly:jmoncb:v:48:y:2016:i:4:p:573-601

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