The real effects of financial stress in the Euro zone

Detalhes bibliográficos
Autor(a) principal: Mallick, Sushanta K.
Data de Publicação: 2011
Outros Autores: Sousa, Ricardo M.
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/1822/12007
Resumo: Using two identification strategies based on a Bayesian Structural VAR and a Sign-Restriction VAR, we examine the real effects of financial stress in the Eurozone. In particular, we assess the macroeconomic impact of: (i) a monetary policy shock; and (ii ) a financial stress shock. We find that a monetary policy contraction strongly deteriorates financial stress conditions. In addition, unexpected variation in the Financial Stress Index (FSI) plays an important role in explaining output fluctuations, and also demands an aggressive response by the monetary authority to stabilise output indicating a preference shift from targeting inflation as it is currently happening in major economies. Therefore, our paper reveals the importance of adopting a vigilant posture towards financial stress conditions, as well as the urgency of macro-prudential risk management.
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spelling The real effects of financial stress in the Euro zoneMonetary policyFinancial stressBayesian structural VARSign-restrictionsEuro-zoneUsing two identification strategies based on a Bayesian Structural VAR and a Sign-Restriction VAR, we examine the real effects of financial stress in the Eurozone. In particular, we assess the macroeconomic impact of: (i) a monetary policy shock; and (ii ) a financial stress shock. We find that a monetary policy contraction strongly deteriorates financial stress conditions. In addition, unexpected variation in the Financial Stress Index (FSI) plays an important role in explaining output fluctuations, and also demands an aggressive response by the monetary authority to stabilise output indicating a preference shift from targeting inflation as it is currently happening in major economies. Therefore, our paper reveals the importance of adopting a vigilant posture towards financial stress conditions, as well as the urgency of macro-prudential risk management.Fundação para a Ciência e a Tecnologia (FCT)Universidade do Minho. Núcleo de Investigação em Políticas Económicas (NIPE)Universidade do MinhoMallick, Sushanta K.Sousa, Ricardo M.20112011-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/1822/12007engMALLIK, Sushanta K. ; SOUSA, Ricardo M. – “The real effects of financial stress in the Euro zone” [Em linha]. Braga : Núcleo de Investigação em Políticas Económicas, 2011. [Consult. 30 Mar. 2011]. Disponível em WWW: <URL: http://www3.eeg.uminho.pt/economia/nipe/docs/2011/NIPE_WP_12_2011.pdf>.http://www3.eeg.uminho.pt/economia/nipe/docs/2011/NIPE_WP_12_2011.pdfinfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-07-21T12:36:31Zoai:repositorium.sdum.uminho.pt:1822/12007Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T19:32:37.519291Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv The real effects of financial stress in the Euro zone
title The real effects of financial stress in the Euro zone
spellingShingle The real effects of financial stress in the Euro zone
Mallick, Sushanta K.
Monetary policy
Financial stress
Bayesian structural VAR
Sign-restrictions
Euro-zone
title_short The real effects of financial stress in the Euro zone
title_full The real effects of financial stress in the Euro zone
title_fullStr The real effects of financial stress in the Euro zone
title_full_unstemmed The real effects of financial stress in the Euro zone
title_sort The real effects of financial stress in the Euro zone
author Mallick, Sushanta K.
author_facet Mallick, Sushanta K.
Sousa, Ricardo M.
author_role author
author2 Sousa, Ricardo M.
author2_role author
dc.contributor.none.fl_str_mv Universidade do Minho
dc.contributor.author.fl_str_mv Mallick, Sushanta K.
Sousa, Ricardo M.
dc.subject.por.fl_str_mv Monetary policy
Financial stress
Bayesian structural VAR
Sign-restrictions
Euro-zone
topic Monetary policy
Financial stress
Bayesian structural VAR
Sign-restrictions
Euro-zone
description Using two identification strategies based on a Bayesian Structural VAR and a Sign-Restriction VAR, we examine the real effects of financial stress in the Eurozone. In particular, we assess the macroeconomic impact of: (i) a monetary policy shock; and (ii ) a financial stress shock. We find that a monetary policy contraction strongly deteriorates financial stress conditions. In addition, unexpected variation in the Financial Stress Index (FSI) plays an important role in explaining output fluctuations, and also demands an aggressive response by the monetary authority to stabilise output indicating a preference shift from targeting inflation as it is currently happening in major economies. Therefore, our paper reveals the importance of adopting a vigilant posture towards financial stress conditions, as well as the urgency of macro-prudential risk management.
publishDate 2011
dc.date.none.fl_str_mv 2011
2011-01-01T00:00:00Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/1822/12007
url http://hdl.handle.net/1822/12007
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv MALLIK, Sushanta K. ; SOUSA, Ricardo M. – “The real effects of financial stress in the Euro zone” [Em linha]. Braga : Núcleo de Investigação em Políticas Económicas, 2011. [Consult. 30 Mar. 2011]. Disponível em WWW: <URL: http://www3.eeg.uminho.pt/economia/nipe/docs/2011/NIPE_WP_12_2011.pdf>.
http://www3.eeg.uminho.pt/economia/nipe/docs/2011/NIPE_WP_12_2011.pdf
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Universidade do Minho. Núcleo de Investigação em Políticas Económicas (NIPE)
publisher.none.fl_str_mv Universidade do Minho. Núcleo de Investigação em Políticas Económicas (NIPE)
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
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