Nonlinear transmission of financial shocks: Some new evidence

Mario Forni, Luca Gambetti, Nicolò Maffei-Faccioli and Luca Sala

No 2022/3, Working Paper from Norges Bank

Abstract: 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.

Keywords: SVAR; Financial shocks; Non-linearity; Asymmetry; Financial crisis (search for similar items in EconPapers)
JEL-codes: C32 E32 (search for similar items in EconPapers)
Pages: 46 pages
Date: 2022-03-17
New Economics Papers: this item is included in nep-fdg
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Citations: View citations in EconPapers (2)

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https://hdl.handle.net/11250/2997495

Related works:
Journal Article: Nonlinear Transmission of Financial Shocks: Some New Evidence (2024)
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Persistent link: https://EconPapers.repec.org/RePEc:bno:worpap:2022_3

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