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Financial stress regimes and the macroeconomy
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Galvão, Ana Beatriz and Owyang, Michael T. (2018) Financial stress regimes and the macroeconomy. Journal of Money, Credit and Banking, 50 (7). pp. 1479-1505. doi:10.1111/jmcb.12491 ISSN 0022-2879.
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Official URL: https://doi.org/10.1111/jmcb.12491
Abstract
Some financial stress events lead to macroeconomic downturns, while others appear to be isolated to financial markets. We identify financial stress regimes using a model that explicitly links financial variables to macro‐economic outcomes. The stress regimes are identified using an unbalanced panel of financial variables with an embedded method for variable selection. Our identified stress regimes are associated with corporate credit tightening and with NBER recessions. An exogenous deterioration in our financial conditions index has strong negative effects in economic activity, and negative amplification effects on inflation in the stress regime. These results are obtained with a novel factor‐augmented vector autoregressive model with smooth‐transition regimes (FASTVAR).
Item Type: | Journal Article | ||||||||
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Divisions: | Faculty of Social Sciences > Economics | ||||||||
Journal or Publication Title: | Journal of Money, Credit and Banking | ||||||||
Publisher: | Wiley-Blackwell Publishing, Inc. | ||||||||
ISSN: | 0022-2879 | ||||||||
Official Date: | October 2018 | ||||||||
Dates: |
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Volume: | 50 | ||||||||
Number: | 7 | ||||||||
Page Range: | pp. 1479-1505 | ||||||||
DOI: | 10.1111/jmcb.12491 | ||||||||
Status: | Peer Reviewed | ||||||||
Publication Status: | Published | ||||||||
Reuse Statement (publisher, data, author rights): | "This is the peer reviewed version of the following article:GALVÃO, A. B. and OWYANG, M. T. (2018), Financial Stress Regimes and the Macroeconomy. Journal of Money, Credit and Banking, 50: 1479-1505, which has been published in final form at https://doi.org/10.1111/jmcb.12491. This article may be used for non-commercial purposes in accordance with Wiley Terms and Conditions for Use of Self-Archived Versions." | ||||||||
Access rights to Published version: | Restricted or Subscription Access | ||||||||
Date of first compliant deposit: | 12 January 2018 | ||||||||
Date of first compliant Open Access: | 23 May 2020 | ||||||||
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