Uncertainty Shocks and Financial Crisis Indicators
Nikolay Hristov and
Markus Roth ()
No 7839, CESifo Working Paper Series from CESifo Group Munich
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.
Keywords: uncertainty; crisis indicators; structural macroeconomic shocks; sign restrictions (search for similar items in EconPapers)
JEL-codes: D89 C32 E44 G01 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-eec and nep-mac
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Working Paper: Uncertainty shocks and financial crisis indicators (2019)
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Persistent link: https://EconPapers.repec.org/RePEc:ces:ceswps:_7839
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