IDEAS home Printed from https://ideas.repec.org/p/cpr/ceprdp/17130.html
   My bibliography  Save this paper

The Nonlinear Transmission of Financial Shocks: Some Evidence

Author

Listed:
  • Forni, Mario
  • Gambetti, Luca
  • Maffei-Faccioli, Nicolò
  • Sala, Luca

Abstract

Financial shocks generate a protracted and quantitatively important effect on real economic activity and financial markets only if the shocks are both negative and large. Otherwise, their role is quite modest. Financial shocks have become more important for economic fluctuations after the 2000 and have contributed substantially to deepening the recessions of 2001 and 2008. The evidence is obtained using a new econometric procedure based on a VMA representation that includes a nonlinear function of the financial shock.

Suggested Citation

  • Forni, Mario & Gambetti, Luca & Maffei-Faccioli, Nicolò & Sala, Luca, 2022. "The Nonlinear Transmission of Financial Shocks: Some Evidence," CEPR Discussion Papers 17130, C.E.P.R. Discussion Papers.
    • Handle: RePEc:cpr:ceprdp:17130
    as

    Download full text from publisher

    File URL: https://cepr.org/publications/DP17130
    Download Restriction: CEPR Discussion Papers are free to download for our researchers, subscribers and members. If you fall into one of these categories but have trouble downloading our papers, please contact us at subscribers@cepr.org
    ---><---

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

    More about this item

    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:cpr:ceprdp:17130. 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: the person in charge (email available below). General contact details of provider: https://www.cepr.org .

    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.