Florian Huber, Karin Klieber, Massimiliano Marcellino, Luca Onorante, Michael Pfarrhofer
arXiv 21 Oct 2024 · Econometrics
arXiv:2410.16214 · PDF · DOI · OpenAlex · Extracted main text
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.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| gilchrist2012ebp | unmatched citation key gilchrist2012ebp | 1.000 | 5 | 3 | 100% |
| 2 | Barnichon et al (2022) Are the effects of financial market disruptions big or small? | 0.928 | 4 | 3 | 100% |
| 3 | Huber (2023) Bayesian Nonlinear Regression using Sums of Simple Functions self | 0.811 | 4 | 2 | 100% |
| 4 | Mumtaz and Piffer (2022) Impulse response estimation via flexible local projections | 0.644 | 2 | 2 | 100% |
| 5 | Abbate et al (2016) The changing international transmission of financial shocks: evidence from a classical time-varying FAVAR | 0.511 | 2 | 1 | 100% |
| 6 | Chipman et al (2010) BART: Bayesian additive regression trees | 0.511 | 2 | 1 | 100% |
| 7 | Krippner (2013) Measuring the stance of monetary policy in zero lower bound environments | 0.511 | 2 | 1 | 100% |
| 8 | Bai et al (2022) Macroeconomic forecasting in a multi-country context | 0.405 | 1 | 1 | 100% |
| 9 | Balke (2000) Credit and economic activity: credit regimes and nonlinear propagation of shocks | 0.405 | 1 | 1 | 100% |
| 10 | Billio et al (2016) Interconnections between eurozone and US booms and busts using a Bayesian panel Markov-switching VAR model | 0.405 | 1 | 1 | 100% |
Showing the top 10 of 30 scored citations. 1 of these could not be matched to a bibliography entry, so only the citation key is shown.