Asymmetries in Financial Spillovers
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arXiv
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| Main Authors: | , , , , |
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| Format: | Preprint |
| Published: |
2024
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| _version_ | 1866909357826899968 |
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| author | Huber, Florian Klieber, Karin Marcellino, Massimiliano Onorante, Luca Pfarrhofer, Michael |
| author_facet | Huber, Florian Klieber, Karin Marcellino, Massimiliano Onorante, Luca Pfarrhofer, Michael |
| contents | This paper analyzes nonlinearities in the international transmission of financial shocks originating in the US. To do so, we develop a flexible nonlinear multi-country model. Our framework is capable of producing asymmetries in the responses to financial shocks for shock size and sign, and over time. We show that international reactions to US-based financial shocks are asymmetric along these dimensions. Particularly, we find that adverse shocks trigger stronger declines in output, inflation, and stock markets than benign shocks. Further, we investigate time variation in the estimated dynamic effects and characterize the responsiveness of three major central banks to financial shocks. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2410_16214 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Asymmetries in Financial Spillovers Huber, Florian Klieber, Karin Marcellino, Massimiliano Onorante, Luca Pfarrhofer, Michael Econometrics Machine Learning This paper analyzes nonlinearities in the international transmission of financial shocks originating in the US. To do so, we develop a flexible nonlinear multi-country model. Our framework is capable of producing asymmetries in the responses to financial shocks for shock size and sign, and over time. We show that international reactions to US-based financial shocks are asymmetric along these dimensions. Particularly, we find that adverse shocks trigger stronger declines in output, inflation, and stock markets than benign shocks. Further, we investigate time variation in the estimated dynamic effects and characterize the responsiveness of three major central banks to financial shocks. |
| title | Asymmetries in Financial Spillovers |
| topic | Econometrics Machine Learning |
| url | https://arxiv.org/abs/2410.16214 |