Financial shocks and the macroeconomy: heterogeneity and non-linearities

Matteo Ciccarelli, Philippe Jeanfils, Markus Haavio, Marianna Cervena, Paolo Guarda, Caterina Mendicino, Antonello D'Agostino, Maria Valderrama (), Eva Ortega, Kirstin Hubrich () and Marianna Valentinyiné Endrész

No 143, Occasional Paper Series from European Central Bank

Abstract: This paper analyses the transmission of financial shocks to the macro-economy. The role of macro-financial linkages is investigated from an empirical perspective for the euro area as a whole, for individual euro area member countries and for other EU and OECD countries. The following key economic questions are addressed: 1) Which financial shocks have the largest impact on output over the full sample on average? 2) Are financial developments leading real activity? 3) Is there heterogeneity or a common pattern in macro-financial linkages across the euro area and do these linkages vary over time? 4) Do cross-country spillovers matter? 5) Is the transmission of financial shocks different during episodes of high stress than it is in normal times, i.e. is there evidence of non-linearities? In summary, it is found that real asset prices are significant leading indicators of real activity whereas the latter leads loan developments. Furthermore, evidence is presented that macro-financial linkages are heterogeneous across countries JEL Classification: C43, D11

Keywords: financial shocks; heterogeneity; lead-lag relationships; macro-financial linkages (search for similar items in EconPapers)
Date: 2013-02
Note: 224580
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Citations: View citations in EconPapers (31)

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