Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/264945 
Year of Publication: 
2022
Series/Report no.: 
Working Paper No. 3/2022
Publisher: 
Norges Bank, Oslo
Abstract: 
Financial shocks generate a protracted and quantitatively important effect on real economic activity and financial markets only if the shocks are both negative and large. Otherwise, their role is quite modest. Financial shocks have become more important for economic fluctuations after the 2000 and have contributed substantially to deepening the recessions of 2001 and 2008. The evidence is obtained using a new econometric procedure based on a Vector Moving Average representation that includes a nonlinear function of the financial shock.
Subjects: 
SVAR
Financial shocks
Non-linearity
Asymmetry
Financial crisis
JEL: 
C32
E32
Persistent Identifier of the first edition: 
ISBN: 
978-82-8379-225-6
Creative Commons License: 
cc-by-nc-nd Logo
Document Type: 
Working Paper
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