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Financial shocks and the macroeconomy: heterogeneity and non-linearities

Author

Listed:
  • Ciccarelli, Matteo
  • Jeanfils, Philippe
  • Haavio, Markus
  • Ĉervená, Marianna
  • Guarda, Paolo
  • Mendicino, Caterina
  • D'Agostino, Antonello
  • Valderrama, Maria Teresa
  • Ortega, Eva
  • Hubrich, Kirstin
  • Valentinyiné Endrész, Marianna

Abstract

This paper analyses the transmission of financial shocks to the macro-economy. The role of macro-financial linkages is investigated from an empirical perspective for the euro area as a whole, for individual euro area member countries and for other EU and OECD countries. The following key economic questions are addressed: 1) Which financial shocks have the largest impact on output over the full sample on average? 2) Are financial developments leading real activity? 3) Is there heterogeneity or a common pattern in macro-financial linkages across the euro area and do these linkages vary over time? 4) Do cross-country spillovers matter? 5) Is the transmission of financial shocks different during episodes of high stress than it is in normal times, i.e. is there evidence of non-linearities? In summary, it is found that real asset prices are significant leading indicators of real activity whereas the latter leads loan developments. Furthermore, evidence is presented that macro-financial linkages are heterogeneous across countries JEL Classification: C43, D11

Suggested Citation

  • Ciccarelli, Matteo & Jeanfils, Philippe & Haavio, Markus & Ĉervená, Marianna & Guarda, Paolo & Mendicino, Caterina & D'Agostino, Antonello & Valderrama, Maria Teresa & Ortega, Eva & Hubrich, Kirstin &, 2013. "Financial shocks and the macroeconomy: heterogeneity and non-linearities," Occasional Paper Series 143, European Central Bank.
  • Handle: RePEc:ecb:ecbops:2013143
    Note: 224580
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    Citations

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    Cited by:

    1. Byrne, Joseph P. & Cao, Shuo & Korobilis, Dimitris, 2019. "Decomposing global yield curve co-movement," Journal of Banking & Finance, Elsevier, vol. 106(C), pages 500-513.
    2. Stijn Claessens & M Ayhan Kose, 2018. "Frontiers of macrofinancial linkages," BIS Papers, Bank for International Settlements, number 95, June.
    3. Sebastian Ankargren & Mårten Bjellerup & Hovick Shahnazarian, 2017. "The importance of the financial system for the real economy," Empirical Economics, Springer, vol. 53(4), pages 1553-1586, December.
    4. Hovick Shahnazarian & Martin Solberger & Erik Spånberg, 2017. "Forecasting and Analysing Corporate Tax Revenues in Sweden Using Bayesian VAR Models," Finnish Economic Papers, Finnish Economic Association, vol. 28(1), pages 50-74, Autumn.
    5. Alexey Ponomarenko & Anna Rozhkova & Sergei Seleznev, 2017. "Macro-financial linkages: the role of liquidity dependence," Bank of Russia Working Paper Series wps24, Bank of Russia.
    6. Isao Ishida & Virmantas Kvedaras, 2015. "Modeling Autoregressive Processes with Moving-Quantiles-Implied Nonlinearity," Econometrics, MDPI, Open Access Journal, vol. 3(1), pages 1-53, January.
    7. Mehmet Balcilar & Zeynel Abidin Ozdemir & Huseyin Ozdemir & Mark E. Wohar, 2019. "Fed’s Unconventional Monetary Policy and Risk Spillover in the US Financial Markets," Working Papers 15-47, Eastern Mediterranean University, Department of Economics.
    8. Kunovac, Davor & Mandler, Martin & Scharnagl, Michael, 2018. "Financial cycles in euro area economies: A cross-country perspective," Discussion Papers 04/2018, Deutsche Bundesbank.
    9. Giordano, Claire & Marinucci, Marco & Silvestrini, Andrea, 2019. "The macro determinants of firms' and households' investment: Evidence from Italy," Economic Modelling, Elsevier, vol. 78(C), pages 118-133.
    10. Monica Billio & Anna Petronevich, 2017. "Dynamical Interaction Between Financial and Business Cycles," Working Papers 2017:24, Department of Economics, University of Venice "Ca' Foscari".
    11. Clancy, Daragh & Merola, Rossana, 2017. "Countercyclical capital rules for small open economies," Journal of Macroeconomics, Elsevier, vol. 54(PB), pages 332-351.
    12. Bluwstein, Kristina, 2017. "Asymmetric Macro-Financial Spillovers," Working Paper Series 337, Sveriges Riksbank (Central Bank of Sweden).
    13. Kirstin Hubrich, 2012. "Comment on "Global House Price Fluctuations: Synchronization and Determinants"," NBER Chapters, in: NBER International Seminar on Macroeconomics 2012, pages 167-173, National Bureau of Economic Research, Inc.
    14. Andrew Filardo & Pierre Siklos, 2018. "The cross-border credit channel and lending standards surveys," BIS Working Papers 723, Bank for International Settlements.

    More about this item

    Keywords

    financial shocks; heterogeneity; lead-lag relationships; macro-financial linkages;

    JEL classification:

    • C43 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Index Numbers and Aggregation
    • D11 - Microeconomics - - Household Behavior - - - Consumer Economics: Theory

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