Financial regimes and uncertainty shocks

• 成果类型: Article
• 署名作者: Alessandri, Piergiorgio; Mumtaz, Haroon
• 署名单位: European Central Bank; Bank of Italy; University of London; Queen Mary University London
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2018.05.001
• 发表日期: 2019
• 页码: 31-46
• 关键词: uncertainty; stochastic volatility; financial markets; Threshold VARs

摘要

Credit markets are an important link in the propagation of economic uncertainty. We study the nexus between the two using a nonlinear VAR where uncertainty is captured by the volatility of the economy's structural shocks and its transmission mechanism is allowed to change in periods of financial distress. We find that, in the USA, uncertainty shocks have recessionary effects at all times, but their impact on output is six times larger when the economy is going through a financial crisis. Uncertainty accounts for one percentage point of the contraction in industrial production observed in the Great Recession. (C) 2018 Elsevier B.V. All rights reserved.