Asymmetries in International Financial Spillovers

30 Pages Posted: 13 Dec 2024

See all articles by Florian Huber

Florian Huber

University of Salzburg

Karin Klieber

European Central Bank (ECB); Oesterreichische Nationalbank (OeNB)

Massimiliano Giuseppe Marcellino

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

Luca Onorante

Joint Research Centre, Italy

Michael Pfarrhofer

WU Wien

Abstract

This paper analyzes nonlinearities in the international transmission of financial shocks originating in the US. To do so, we develop a flexible nonlinear multi-country model. Our framework is capable of producing asymmetries in the responses to financial shocks for shock size and sign, and over time. We show that international reactions to US-based financial shocks are asymmetric along these dimensions. Particularly, we find that adverse shocks trigger stronger declines in output, inflation, and stock markets than benign shocks. Further, we investigate time variation in the estimated dynamic effects and characterize the responsiveness of three major central banks to financial shocks.

Keywords: Financial shocks, Bayesian nonlinear VAR, multi-country models, international business cycle dynamics

Suggested Citation

Huber, Florian and Klieber, Karin and Marcellino, Massimiliano and Onorante, Luca and Pfarrhofer, Michael, Asymmetries in International Financial Spillovers. Available at SSRN: https://ssrn.com/abstract=5054831 or http://dx.doi.org/10.2139/ssrn.5054831

Florian Huber

University of Salzburg ( email )

Karin Klieber (Contact Author)

European Central Bank (ECB) ( email )

Sonnemannstrasse 22
Frankfurt am Main, 60314
Germany

Oesterreichische Nationalbank (OeNB) ( 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

Luca Onorante

Joint Research Centre, Italy

Via E. Fermi 1
I-21020 Ispra (VA)
United States

Michael Pfarrhofer

WU Wien ( email )

Austria

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