IDEAS home Printed from https://ideas.repec.org/a/eee/ecolet/v235y2024ics016517652400034x.html
   My bibliography  Save this article

The systemic risk-uncertainty-real economic activity nexus: What is beyond median estimation?

Author

Listed:
  • Stolbov, Mikhail
  • Shchepeleva, Maria
  • Parfenov, Daniil

Abstract

The paper investigates the lead-lag relationships among systemic risk, economic uncertainty and real economic activity for top-5 contributors to global systemic risk, the USA, China, the UK, France and Japan, during January 2010-July 2023. By decomposing these variables into a below- and above-the-median components and applying VAR models to them, we confirm the presence of asymmetric relationships among systemic risk, economic uncertainty and real economic activity. Most of these asymmetric linkages are found for the USA, followed by the UK and China.

Suggested Citation

  • Stolbov, Mikhail & Shchepeleva, Maria & Parfenov, Daniil, 2024. "The systemic risk-uncertainty-real economic activity nexus: What is beyond median estimation?," Economics Letters, Elsevier, vol. 235(C).
    • Handle: RePEc:eee:ecolet:v:235:y:2024:i:c:s016517652400034x
    DOI: 10.1016/j.econlet.2024.111550
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S016517652400034X
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.econlet.2024.111550?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Keywords

    Uncertainty; Systemic risk; Industrial production; Granger causality; Impulse response functions;
    All these keywords.

    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:ecolet:v:235:y:2024:i:c:s016517652400034x. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/ecolet .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.