We study the changing international transmission of financial shocks over the period 1971–2012. Global financial shocks are measured as unexpected changes of a U.S. financial conditions index (FCI), developed by Hatzius et al. (2010). We model the FCI jointly with a large international data set through a time-varying parameter factor-augmented VAR and find that financial shocks have a considerable impact on growth in the nine countries considered. Moreover, financial shocks during the global financial crisis are found to be large by historical standards. They explain approximately 20% of GDP growth variation on average over 2008–9, compared to an average of 5% prior to the crisis.

The changing international transmission of financial shocks: evidence from a classical time-varying FAVAR

ABBATE, ANGELA;MARCELLINO, MASSIMILIANO
2016

Abstract

We study the changing international transmission of financial shocks over the period 1971–2012. Global financial shocks are measured as unexpected changes of a U.S. financial conditions index (FCI), developed by Hatzius et al. (2010). We model the FCI jointly with a large international data set through a time-varying parameter factor-augmented VAR and find that financial shocks have a considerable impact on growth in the nine countries considered. Moreover, financial shocks during the global financial crisis are found to be large by historical standards. They explain approximately 20% of GDP growth variation on average over 2008–9, compared to an average of 5% prior to the crisis.
2016
2016
Abbate, Angela; Eickmeier, Sandra; Lemke, Wolfgang; Marcellino, Massimiliano
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11565/3991747
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