Time Variation in Macro-Financial Linkages

54 Pages Posted: 21 Jun 2016

See all articles by Esteban Prieto

Esteban Prieto

affiliation not provided to SSRN

Sandra Eickmeier

Deutsche Bundesbank; Australian National University (ANU) - Centre for Applied Macroeconomic Analysis (CAMA)

Massimiliano Giuseppe Marcellino

Bocconi University - Department of Economics; Centre for Economic Policy Research (CEPR)

Date Written: 2013

Abstract

We analyze the contribution of credit spread, house and stock price shocks to GDP growth in the US based on a Bayesian VAR with time-varying parameters estimated over 1958-2012. Our main findings are: (i) The contribution of financial shocks to GDP growth fluctuates from about 20 percent in normal times to 50 percent during the global financial crisis. (ii) The Great Recession and the subsequent weak recovery can largely be traced back to negative housing shocks. (iii) Housing shocks have become more important for the real economy since the early-2000s, and negative housing shocks are more important than positive ones.

Keywords: financial shocks, time-varying parameter VAR model, Global Financial Crisis, macro-financial linkages

JEL Classification: C32, E5, E3

Suggested Citation

Prieto, Esteban and Eickmeier, Sandra and Marcellino, Massimiliano, Time Variation in Macro-Financial Linkages (2013). Bundesbank Discussion Paper No. 13/2013, Available at SSRN: https://ssrn.com/abstract=2796905 or http://dx.doi.org/10.2139/ssrn.2796905

Esteban Prieto (Contact Author)

affiliation not provided to SSRN

Sandra Eickmeier

Deutsche Bundesbank ( email )

Wilhelm-Epstein-Strasse 14
Frankfurt/Main D-60431
Germany

Australian National University (ANU) - Centre for Applied Macroeconomic Analysis (CAMA) ( email )

Massimiliano Marcellino

Bocconi University - Department of Economics ( email )

Via Gobbi 5
Milan, 20136
Italy

Centre for Economic Policy Research (CEPR) ( email )

London
United Kingdom

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