Financial shocks and the real economy in a nonlinear world: from theory to estimation

  • We examine the inter-linkages between financial factors and real economic activity. We review the main theoretical approaches that allow financial frictions to be embedded into general equilibrium models. We outline, from a policy perspective, the most recent empirical papers focusing on the propagation of exogenous shocks to the economy, with a particular emphasis on works dealing with time variation of parameters and other types of nonlinearities. We then present an application to the analysis of the changing transmission of financial shocks in the euro area. Results show that the effects of a financial shock are time-varying and contingent on the state of the economy. They are of negligible importance in normal times but they greatly matter in conditions of stress.

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Metadaten
Author:Andrea Silvestrini, Andrea ZaghiniORCiDGND
URN:urn:nbn:de:hebis:30:3-382471
URL:http://ssrn.com/abstract=2618420
DOI:https://doi.org/10.2139/ssrn.2618420
Parent Title (English):Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 505
Series (Serial Number):CFS working paper series (505)
Publisher:Center for Financial Studies
Place of publication:Frankfurt, M.
Document Type:Working Paper
Language:English
Year of Completion:2015
Year of first Publication:2015
Publishing Institution:Universitätsbibliothek Johann Christian Senckenberg
Release Date:2015/10/08
Page Number:26
HeBIS-PPN:366777718
Institutes:Wirtschaftswissenschaften / Wirtschaftswissenschaften
Wissenschaftliche Zentren und koordinierte Programme / Center for Financial Studies (CFS)
Dewey Decimal Classification:3 Sozialwissenschaften / 33 Wirtschaft / 330 Wirtschaft
JEL-Classification:C Mathematical and Quantitative Methods / C3 Multiple or Simultaneous Equation Models / C32 Time-Series Models; Dynamic Quantile Regressions (Updated!)
Sammlungen:Universitätspublikationen
Licence (German):License LogoDeutsches Urheberrecht