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Exploring Interactions between Real Activity and the Financial Stance

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Author Info
Jacobson, Tor () (Research Department, Central Bank of Sweden)
Lindé, Jesper () (Research Department, Central Bank of Sweden)
Roszbach, Kasper () (Research Department, Central Bank of Sweden)

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Abstract

In this paper we empirically study interactions between real activity and the financial stance. Using aggregate data we examine a number of candidate measures of the financial stance of the economy. We find strong evidence for substantial spillover effects on aggregate activity from our preferred measure. Given this result, we use a large micro data-set for corporate firms to develop a macro-micro model of the interaction between the financial and real economy. This approach implies that the impulse responses of a given aggregate shock will depend on the portfolio structure of firms at any given point in time.

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Publisher Info
Paper provided by Sveriges Riksbank (Central Bank of Sweden) in its series Working Paper Series with number 184.

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Length: 51 pages
Date of creation: 01 Apr 2005
Date of revision:
Handle: RePEc:hhs:rbnkwp:0184

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Postal: Sveriges Riksbank, SE-103 37 Stockholm, Sweden
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Related research
Keywords: Default-risk models; Business Cycles; Financial Stability; Price stability; Financial and real economy interaction;

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Find related papers by JEL classification:
C41 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Duration Analysis
G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Mortgages
G33 - Financial Economics - - Corporate Finance and Governance - - - Bankruptcy; Liquidation
G38 - Financial Economics - - Corporate Finance and Governance - - - Government Policy and Regulation

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  1. Per Asberg Sommar & Hovick Shahnazarian, 2009. "Interdependencies between Expected Default Frequency and the Macro Economy," International Journal of Central Banking, International Journal of Central Banking, vol. 5(3), pages 83-110, September. [Downloadable!]
  2. Åsberg Sommar, Per & Shahnazarian, Hovick, 2008. "Macroeconomic Impact on Expected Default Frequency," Working Paper Series 219, Sveriges Riksbank (Central Bank of Sweden). [Downloadable!]
  3. Jacobson, Tor & Kindell, Rikard & Lindé, Jesper & Roszbach, Kasper F., 2008. "Firm Default and Aggregate Fluctuations," CEPR Discussion Papers 7083, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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  4. Jonas Dovern & Carsten-Patrick Meier & Johannes Vilsmeier, 2008. "How Resilient is the German Banking System to Macroeconomic Shocks?," Kiel Working Papers 1419, Kiel Institute for the World Economy. [Downloadable!]
  5. Olli Castrén & Stéphane Dées & Fadi Zaher, 2008. "Global Macro-Financial Shocks and expected default frequencies in the Euro area," Working Paper Series 875, European Central Bank. [Downloadable!]
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