Uncertainty Shocks and Financial Crisis Indicators

Nikolay Hristov and Markus Roth (markus.roth@bundesbank.de)

No 7839, CESifo Working Paper Series from CESifo

Abstract: 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: C32 D89 E44 G01 (search for similar items in EconPapers)
Date: 2019
New Economics Papers: this item is included in nep-eec and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

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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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