The Nonlinear Transmission of Financial Shocks: Some Evidence

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

No 17130, CEPR Discussion Papers from C.E.P.R. Discussion Papers

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 VMA representation that includes a nonlinear function of the financial shock.

Date: 2022-03
References: Add references at CitEc
Citations:

Downloads: (external link)
https://cepr.org/publications/DP17130 (application/pdf)
CEPR Discussion Papers are free to download for our researchers, subscribers and members. If you fall into one of these categories but have trouble downloading our papers, please contact us at subscribers@cepr.org

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cpr:ceprdp:17130

Ordering information: This working paper can be ordered from
https://cepr.org/publications/DP17130

Access Statistics for this paper

More papers in CEPR Discussion Papers from C.E.P.R. Discussion Papers Centre for Economic Policy Research, 33 Great Sutton Street, London EC1V 0DX.
Bibliographic data for series maintained by ().