Time Variation in Macro-Financial Linkages

Massimiliano Marcellino, Sandra Eickmeier and Esteban Prieto ()

No 9436, CEPR Discussion Papers from C.E.P.R. Discussion Papers

Abstract: We analyze the contribution of credit spread, house and stock price shocks to GDP growth in the US based on a Bayesian VAR with time-varying parameters estimated over 1958-2012. Our main findings are: (i) The contribution of financial shocks to GDP growth fluctuates from about 20 percent in normal times to 50 percent during the global financial crisis. (ii) The Great Recession and the subsequent weak recovery can largely be traced back to negative housing shocks. (iii) Housing shocks have become more important for the real economy since the early-2000s, and negative housing shocks are more important than positive ones.

Keywords: Financial shocks; Global financial crisis; Macro-financial linkages; Time-varying parameter var model (search for similar items in EconPapers)
JEL-codes: C32 E3 E5 (search for similar items in EconPapers)
Date: 2013-04
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Citations: View citations in EconPapers (11)

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Related works:
Journal Article: Time Variation in Macro‐Financial Linkages (2016)
Working Paper: Time variation in macro-financial linkages (2013)
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