arXiv 17 Jun 2025 · Econometrics
arXiv:2506.14321 · PDF · DOI · OpenAlex · Extracted main text
We analyse economic growth vulnerability of the four largest Euro Area (EA) countries under stressed macroeconomic and financial conditions. Vulnerability, measured as a lower quantile of the growth distribution conditional on EA-wide and country-specific underlying factors, is found to be higher in Germany, which is more exposed to EA-wide economic conditions, and in Spain, which has large country-specific sectoral dynamics. We show that, under stress, financial factors amplify adverse macroeconomic conditions. Furthermore, even severe sectoral (financial or macro) shocks, whether common or country-specific, fail to fully explain the vulnerability observed under overall stress. Our results underscore the importance of monitoring both local and EA-wide macro-financial conditions to design effective policies for mitigating growth vulnerability.
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| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | González-Rivera, G., C. Rodrǵuez-Caballero, and E. Ruiz (2024) Expecting the unexpected: Stressed scenarios for economic growth | 1.000 | 5 | 3 | 100% |
| 2 | Adrian, T., N. Boyarchenko, and D. Giannone (2019) Vulnerable growth | 0.928 | 4 | 3 | 100% |
| 3 | Barigozzi, M., C. Lissona, and L. Tonni (2024) Large datasets for the euro area and its member countries and the dynamic effects of the common monetary policy | 0.843 | 4 | 4 | 75% |
| 4 | Goncalves, S., J. Koh, and B. Perron (2025) Bootstrap inference for group factor models | 0.811 | 4 | 2 | 100% |
| 5 | Breitung, J. and S. Eickmeier (2016) Analyzing international business and financial cycles using multi-level factor models: A comparison of alternative approaches | 0.737 | 4 | 2 | 75% |
| 6 | Barigozzi, M. and M. Luciani (2024) Quasi maximum likelihood estimation and inference of large approximate dynamic factor models via the EM algorithm | 0.644 | 2 | 2 | 100% |
| 7 | Busetti, F., M. Caivano, D. Delle Monache, and C. Pacella (2021) The time-varying risk of Italian GDP | 0.644 | 2 | 2 | 100% |
| 8 | Delle Chiaie, S., L. Ferrara, and D. Giannone (2022) Common factors of commodity prices | 0.644 | 2 | 2 | 100% |
| 9 | Gilchrist, S. and B. Mojon (2018) Credit risk in the euro area | 0.644 | 2 | 2 | 100% |
| 10 | Hoffmann, P., M. Kremer, and S. Zaharia (2020) Financial integration in Europe through the lens of composite indicators | 0.644 | 2 | 2 | 100% |
Showing the top 10 of 61 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | Large datasets for the euro area and its member countries and the dynamic effects of the common monetary policy | 0.405 | 1 | 1 |