Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/229084 
Erscheinungsjahr: 
2020
Schriftenreihe/Nr.: 
ECB Working Paper No. 2470
Verlag: 
European Central Bank (ECB), Frankfurt a. M.
Zusammenfassung: 
We study the macroeconomic consequences of financial shocks and increase in economic risk using a quantile vector autoregression. Financial shocks have a negative, but asymmetric impact on the real economy: they substantially increase growth at risk, but have limited impact on upside potential. The impact of financial shocks is explained away after controlling for economic risk (measured by the interquantile range). The effects are economically relevant. Bad economic environment, characterized by negative real and financial shocks, has a highly skewed impact on business cycle fluctuations, leading to a peak reduction of monthly industrial production by more than 2%. In comparison, positive real and financial shocks in a good economic environment have limited effect on upside potential of the economy
Schlagwörter: 
Risk
uncertainty
financial conditions
quantile regression
JEL: 
C32
C53
E32
E44
Persistent Identifier der Erstveröffentlichung: 
ISBN: 
978-92-899-4387-1
Dokumentart: 
Working Paper

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