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Financial conditions and density forecasts for US output and inflation

Alessandri, Piergiorgio; Mumtaz, Haroon - 2014

When do financial markets help in predicting economic activity? With incomplete markets, the link between financial and real economy is state-dependent and financial indicators may turn out to be useful particularly in forecasting "tail" macroeconomic events. We examine this conjecture by...

Persistent link: https://www.econbiz.de/10010339756

The impact of financial shocks on the forecast distribution of output and inflation

Forni, Mario; Gambetti, Luca; Maffei-Faccioli, Nicolò; … - 2023

Financial shocks represent a major driver of fluctuations in tail risk, defined as the 5th percentile of the forecast distributions of output and inflation. Since the variance and the asymmetry of the forecast distributions are largely driven by the left tail, financial shocks turn out to play a...

Persistent link: https://www.econbiz.de/10014232607

Rare shocks, great recessions

Cúrdia, Vasco; Del Negro, Marco; Greenwald, Daniel L. - 2012

We estimate a DSGE model where rare large shocks can occur, but replace the commonly used Gaussian assumption with a Student's t-distribution. Results from the Smets and Wouters (2007) model estimated on the usual set of macroeconomic time series over the 1964-2011 period indicate that 1) the...

Persistent link: https://www.econbiz.de/10010219714

Financial uncertainty and real activity : the good, the bad, and the ugly

Caggiano, Giovanni; Castelnuovo, Efrem; Delrio, Silvia; … - 2020

disruptions are found to double the negative output response to an uncertainty shock. We then employ our model to estimate the … overall economic cost of the COVID-19-induced uncertainty shock under different scenarios. Our results point to the … interventions that keep credit conditions as healthy as they were before the COVID-19 uncertainty shock are found to substantially …

Persistent link: https://www.econbiz.de/10012245103

The effect of a financial block on the identification of confidence shocks in a structural VAR model

Myohl, Christian - 2018

This paper studies the propagation and properties of a confidence shock in a structural vector autoregression (VAR … and the contribution to the forecast error variance by the confidence shock. Nevertheless, for specific historical … smaller role to confidence shocks for the fall in GDP. This suggests that the confidence shock may not be properly identified …

Persistent link: https://www.econbiz.de/10011961326

Monetary policy transmission over the leverage cycle : evidence for the euro area

Bräuer, Leonie; Rünstler, Gerhard - 2020

We study state dependence in the impact of monetary policy shocks over the leverage cycle for a panel of 10 euro area countries. We use a Bayesian Threshold Panel SVAR with regime classifications based on credit and house prices cycles. We find that monetary policy shocks trigger a smaller...

Persistent link: https://www.econbiz.de/10012241107

Deflationary financial shocks and inflationary uncertainty shocks : an SVAR investigation

De Santis, Roberto A.; Van der Veken, Wouter - 2022

What are the economic implications of financial and uncertainty shocks? We show that financial shocks cause a decline in output and goods prices, while uncertainty shocks cause a decline in output and an increase in goods prices. In response to uncertainty shocks, firms increase their markups,...

Persistent link: https://www.econbiz.de/10013373603

Nonlinear transmission of financial shocks : some new evidence

Forni, Mario; Gambetti, Luca; Maffei-Faccioli, Nicolò; … - 2022

that includes a nonlinear function of the financial shock. …

Persistent link: https://www.econbiz.de/10013207315

The global financial cycle and macroeconomic tail risks

Beutel, Johannes; Emter, Lorenz; Metiu, Norbert; … - 2022

We study the link between the global financial cycle and macroeconomic tail risks using quantile vector autoregressions. Contractionary shocks to financial conditions and monetary policy in the United States cause elevated downside risks to growth around the world. By tightening financial...

Persistent link: https://www.econbiz.de/10013459721

To sign or not to sign? : on the response of prices to financial and uncertainty shocks

Meinen, Philipp; Röhe, Oke - 2018

that such disturbances are important drivers of output fluctuations in both economies, we find the shock responses of …

Persistent link: https://www.econbiz.de/10011897983