Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/204494 
Year of Publication: 
2019
Series/Report no.: 
Deutsche Bundesbank Discussion Paper No. 36/2019
Publisher: 
Deutsche Bundesbank, Frankfurt a. M.
Abstract: 
The current paper broadens the understanding for the role of uncertainty in the context of a macroeconomic environment. It focuses on the implications of uncertainty shocks on indicators that tend to precede financial crises. In an empirical analysis we show for a set of four euro area countries that negative uncertainty shocks, while accompanied by favorable effects to economic activity, are followed by unfavorable reactions of financial crisis indicators. We conclude that uncertainty indicators contain some useful information on the potential buildup of vulnerabilities in the financial system.
Subjects: 
uncertainty
crisis indicators
structural macroeconomic shocks
signrestrictions
JEL: 
D89
C32
E44
G01
ISBN: 
978-3-95729-631-3
Document Type: 
Working Paper

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